x | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Maryland | 68-0329422 | |
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) |
One Belvedere Place, Suite 300 Mill Valley, California | 94941 | |
(Address of Principal Executive Offices) | (Zip Code) |
Title of Each Class: | Name of Exchange on Which Registered: |
Common Stock, par value $0.01 per share | New York Stock Exchange |
Large accelerated filer x | Accelerated filer o | Non-accelerated filer o | Smaller reporting company o |
Page | ||
PART I | ||
Item 1. | ||
Item 1A. | ||
Item 1B. | ||
Item 2. | ||
Item 3. | ||
Item 4. | ||
Item 5. | Market for Registrant’s Common Equity, Related Stockholder Matters, and Issuer Purchases of Equity Securities | |
Item 6. | ||
Item 7. | ||
Item 7A. | ||
Item 8. | ||
Item 9. | ||
Item 9A. | ||
Item 9B. | ||
Item 10. | ||
Item 11. | ||
Item 12. | ||
Item 13. | ||
Item 14. | ||
Item 15. | ||
• | increasing our vulnerability to adverse economic and industry conditions; |
• | limiting our ability to obtain additional financing; |
• | requiring the dedication of a substantial portion of our cash flow from operations to service our indebtedness, thereby reducing the amount of our cash flow available for other purposes; |
• | requiring asset sales to fund maturing debt; |
• | limiting our flexibility in planning for, or reacting to, changes in our business; |
• | dilution experienced by our existing stockholders as a result of the conversion of the convertible notes or exchangeable securities into shares of common stock; and |
• | placing us at a possible competitive disadvantage with less leveraged competitors and competitors that may have better access to capital resources. |
• | Compliance with the REIT income and asset rules, or uncertainty about the application of those rules to certain investments, may result in our holding investments in our taxable REIT subsidiaries (where any income they produce is subject to corporate-level taxation) when we would prefer to hold those investments in an entity that is taxed as a REIT (where they would not be subject to corporate-level taxation. |
• | Compliance with the REIT income and asset rules may limit the type or extent of financing or hedging that we can undertake. |
• | Our ability to own non-real estate assets and earn non-real estate related income is limited, and the rules for classifying assets and income are complicated. Our ability to own equity interests in other entities is also limited. If we fail to comply with these limits, we may be forced to liquidate attractive investments on short notice on unfavorable terms in order to maintain our REIT status. |
• | We generally use taxable REIT subsidiaries to own non-real estate assets and engage in activities that may give rise to non-real estate related income under the REIT rules. However, our ability to invest in taxable REIT subsidiaries is limited under the REIT rules. No more than 25% (20% for taxable years beginning after December 31, 2017) of the value of our total securities can be represented by securities of one or more taxable REIT subsidiaries. Maintaining compliance with this limit could require us to constrain the growth of our taxable REIT subsidiaries in the future. |
• | Meeting minimum REIT dividend distribution requirements could reduce our liquidity. We may earn non-cash REIT taxable income due to timing and/or character mismatches between the computation of our income for tax and accounting purposes. Earning non-cash REIT taxable income could necessitate our selling assets, incurring debt, or raising new equity in order to fund dividend distributions. |
• | We could be viewed as a “dealer” with respect to certain transactions and become subject to a 100% prohibited transaction tax or other entity-level taxes on income from such transactions. |
• | Our actual or anticipated financial condition, performance, and prospects and those of our competitors. |
• | The market for similar securities issued by other REITs and other competitors of ours. |
• | Changes in the manner that investors and securities analysts who provide research to the marketplace on us analyze the value of our common stock. |
• | Changes in recommendations or in estimated financial results published by securities analysts who provide research to the marketplace on us, our competitors, or our industry. |
• | General economic and financial market conditions, including, among other things, actual and projected interest rates, prepayments, and credit performance and the markets for the types of assets we hold or invest in. |
• | Proposals to significantly change the manner in which financial markets, financial institutions, and related industries, or financial products are regulated under applicable law, or the enactment of such proposals into law or regulation. |
• | Other events or circumstances which undermine confidence in the financial markets or otherwise have a broad impact on financial markets, such as the sudden instability or collapse of large financial institutions or other significant corporations (whether due to fraud or other factors), terrorist attacks, natural or man-made disasters, or threatened or actual armed conflicts. |
Location | Lease Expiration |
One Belvedere Place, Suite 300 | 2018 |
Mill Valley, CA 94941 | |
8310 South Valley Highway, Suite 425 | 2021 |
Englewood, CO 80112 | |
225 W. Washington St., Suite 1440 | 2019 |
Chicago, IL 60606 |
Stock Prices | Common Dividends Declared | ||||||||||||||||
High | Low | Record Date | Payable Date | Per Share | Dividend Type | ||||||||||||
Year Ended December 31, 2016 | |||||||||||||||||
Fourth Quarter | $ | 16.20 | $ | 13.49 | 12/15/2016 | 12/29/2016 | $ | 0.28 | Regular | ||||||||
Third Quarter | $ | 15.07 | $ | 13.29 | 9/15/2016 | 9/30/2016 | $ | 0.28 | Regular | ||||||||
Second Quarter | $ | 14.53 | $ | 12.49 | 6/16/2016 | 6/30/2016 | $ | 0.28 | Regular | ||||||||
First Quarter | $ | 13.92 | $ | 9.36 | 3/16/2016 | 3/31/2016 | $ | 0.28 | Regular | ||||||||
Year Ended December 31, 2015 | |||||||||||||||||
Fourth Quarter | $ | 14.25 | $ | 12.55 | 12/17/2015 | 12/29/2015 | $ | 0.28 | Regular | ||||||||
Third Quarter | $ | 16.20 | $ | 13.84 | 9/15/2015 | 9/30/2015 | $ | 0.28 | Regular | ||||||||
Second Quarter | $ | 18.54 | $ | 15.70 | 6/16/2015 | 6/30/2015 | $ | 0.28 | Regular | ||||||||
First Quarter | $ | 20.38 | $ | 17.87 | 3/17/2015 | 3/31/2015 | $ | 0.28 | Regular |
Total Number of Shares Purchased or Acquired | Average Price per Share Paid | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Maximum Number (or approximate dollar value) of Shares that May Yet be Purchased under the Plans or Programs | |||||||||||
(In Thousands, except Per Share Data) | ||||||||||||||
October 1, 2016 - October 31, 2016 | 26 | $ | 13.53 | 25 | $ | — | ||||||||
November 1, 2016 - November 30, 2016 | — | $ | — | — | $ | — | ||||||||
December 1, 2016 - December 31, 2016 | — | $ | — | — | $ | 86,109 | ||||||||
Total | 26 | $ | 13.53 | 25 | ||||||||||
2011 | 2012 | 2013 | 2014 | 2015 | 2016 | ||||||
Redwood Trust, Inc. | 100 | 179 | 217 | 234 | 169 | 211 | |||||
NAREIT Mortgage REIT Index | 100 | 120 | 118 | 138 | 126 | 155 | |||||
S&P Composite-500 Index | 100 | 116 | 154 | 175 | 177 | 198 |
(In Thousands, except Share Data) | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||
Selected Statement of Operations Data: | ||||||||||||||||||||
Interest income | $ | 246,355 | $ | 259,432 | $ | 242,070 | $ | 226,156 | $ | 231,384 | ||||||||||
Interest expense | (88,528 | ) | (95,883 | ) | (87,463 | ) | (80,971 | ) | (120,705 | ) | ||||||||||
Net Interest Income | 157,827 | 163,549 | 154,607 | 145,185 | 110,679 | |||||||||||||||
Reversal of (provision for) loan losses | 7,102 | 355 | (961 | ) | (4,737 | ) | (3,648 | ) | ||||||||||||
Net Interest Income after Provision | 164,929 | 163,904 | 153,646 | 140,448 | 107,031 | |||||||||||||||
Non-interest Income | ||||||||||||||||||||
Mortgage banking activities, net | 38,691 | 10,972 | 34,994 | 102,532 | 36,593 | |||||||||||||||
Mortgage servicing rights income (loss), net | 14,353 | (3,922 | ) | (4,261 | ) | 20,309 | (1,391 | ) | ||||||||||||
Investment fair value changes, net | (28,574 | ) | (21,357 | ) | (10,202 | ) | (5,747 | ) | 1,539 | |||||||||||
Other income | 6,338 | 3,192 | 1,781 | — | — | |||||||||||||||
Realized gains, net | 28,009 | 36,369 | 15,478 | 25,259 | 54,921 | |||||||||||||||
Total non-interest income, net | 58,817 | 25,254 | 37,790 | 142,353 | 91,662 | |||||||||||||||
Operating expenses | (88,786 | ) | (97,416 | ) | (90,123 | ) | (86,607 | ) | (65,633 | ) | ||||||||||
Other expense | — | — | — | (12,000 | ) | — | ||||||||||||||
Net Income before Provision for Income Taxes | 134,960 | 91,742 | 101,313 | 184,194 | 133,060 | |||||||||||||||
(Provision for) benefit from income taxes | (3,708 | ) | 10,346 | (744 | ) | (10,948 | ) | (1,291 | ) | |||||||||||
Net Income | $ | 131,252 | $ | 102,088 | $ | 100,569 | $ | 173,246 | $ | 131,769 | ||||||||||
Average common shares – basic | 76,747,047 | 82,945,103 | 82,837,369 | 81,985,897 | 79,529,950 | |||||||||||||||
Earnings per share – basic | $ | 1.66 | $ | 1.20 | $ | 1.18 | $ | 2.05 | $ | 1.61 | ||||||||||
Average common shares – diluted (1) | 97,909,090 | 84,518,395 | 85,098,579 | 93,694,924 | 80,673,682 | |||||||||||||||
Earnings per share – diluted | $ | 1.54 | $ | 1.18 | $ | 1.15 | $ | 1.94 | $ | 1.59 | ||||||||||
Regular dividends declared per common share | $ | 1.12 | $ | 1.12 | $ | 1.12 | $ | 1.12 | $ | 1.00 | ||||||||||
Selected Balance Sheet Data: | ||||||||||||||||||||
Earning assets | $ | 5,240,560 | $ | 5,976,911 | $ | 5,753,753 | $ | 4,519,775 | $ | 4,343,628 | ||||||||||
Total assets | $ | 5,483,477 | $ | 6,220,047 | $ | 5,902,916 | $ | 4,595,075 | $ | 4,434,805 | ||||||||||
Short-term debt | $ | 791,539 | $ | 1,855,003 | $ | 1,793,825 | $ | 862,763 | $ | 551,918 | ||||||||||
Asset-backed securities issued – Resecuritization, net (2) | $ | — | $ | — | $ | 44,909 | $ | 94,542 | $ | 164,012 | ||||||||||
Asset-backed securities issued, net – Commercial | $ | — | $ | 52,595 | $ | 81,760 | $ | 150,796 | $ | 167,352 | ||||||||||
Asset-backed securities issued, net – Sequoia | $ | 773,462 | $ | 996,820 | $ | 1,416,090 | $ | 1,692,941 | $ | 2,190,480 | ||||||||||
Long-term debt, net (2) | $ | 2,620,683 | $ | 2,027,737 | $ | 1,180,877 | $ | 467,697 | $ | 138,304 | ||||||||||
Total liabilities | $ | 4,334,049 | $ | 5,073,782 | $ | 4,646,775 | $ | 3,349,292 | $ | 3,294,641 | ||||||||||
Total stockholders’ equity | $ | 1,149,428 | $ | 1,146,265 | $ | 1,256,141 | $ | 1,245,783 | $ | 1,140,164 | ||||||||||
Number of common shares outstanding | 76,834,663 | 78,162,765 | 83,443,141 | 82,504,801 | 81,716,416 | |||||||||||||||
Book value per common share | $ | 14.96 | $ | 14.67 | $ | 15.05 | $ | 15.10 | $ | 13.95 | ||||||||||
Other Selected Data: | ||||||||||||||||||||
Average assets (3) | $ | 5,893,998 | $ | 6,015,420 | $ | 5,356,839 | $ | 4,904,878 | $ | 5,318,442 | ||||||||||
Average debt and ABS issued outstanding (3) | $ | 4,617,956 | $ | 4,505,079 | $ | 3,871,404 | $ | 3,571,389 | $ | 4,130,216 | ||||||||||
Average stockholders’ equity | $ | 1,112,313 | $ | 1,240,345 | $ | 1,250,627 | $ | 1,200,461 | $ | 987,330 | ||||||||||
Net income/average stockholders’ equity | 11.8 | % | 8.2 | % | 8.0 | % | 14.4 | % | 13.3 | % |
(1) | Diluted average common shares for 2016 and 2013 include certain convertible notes that were determined to be dilutive for those years. |
(2) | At December 31, 2016, 2015, 2014, 2013, and 2012, Asset-backed securities issued, net included $0, $542, $2,360, $4,683, and $8,097, respectively, of deferred debt issuance costs, and long-term debt, net included $7,081, $10,438, $13,690, $8,770, and $1,196, respectively, of deferred debt issuance costs. |
(3) | Average assets and Average debt and ABS issued outstanding presented above do not include deferred securities issuance costs. |
• | Overview |
• | Results of Operations |
• | Liquidity and Capital Resources |
• | Off Balance Sheet Arrangements and Contractual Obligations |
• | Critical Accounting Policies and Estimates |
• | New Accounting Standards |
Years Ended December 31, | ||||||||
(In Thousands, except per Share Data) | 2016 | 2015 | ||||||
Net income | $ | 131,252 | $ | 102,088 | ||||
Net income per diluted common share | $ | 1.54 | $ | 1.18 | ||||
GAAP return on equity | 11.8 | % | 8.2 | % | ||||
REIT taxable income per share | $ | 1.27 | $ | 1.05 | ||||
Dividends per share | $ | 1.12 | $ | 1.12 | ||||
Book value per share | $ | 14.96 | $ | 14.67 |
Year Ended | ||||
(In Dollars, per share basis) | December 31, 2016 | |||
Beginning book value per share | $ | 14.67 | ||
Net income | 1.54 | |||
Changes in unrealized gains on securities, net from: | ||||
Realized gains recognized in net income | (0.24 | ) | ||
Amortization income recognized in net income | (0.29 | ) | ||
Mark-to-market adjustments, net | 0.31 | |||
Total change in unrealized gains on securities, net | (0.22 | ) | ||
Dividends | (1.12 | ) | ||
Share repurchases | 0.04 | |||
Equity compensation, net | (0.07 | ) | ||
Changes in unrealized losses on derivatives hedging long-term debt | 0.05 | |||
Other, net | 0.07 | |||
Ending Book Value per Share | $ | 14.96 |
At December 31, 2016 | |||||||||||||||
(Dollars in Thousands) | Fair Value | Collateralized Debt | Allocated Capital | % of Total Capital | |||||||||||
Residential investments | |||||||||||||||
Residential loans/FHLB Stock | $ | 2,304,409 | $ | (1,999,999 | ) | $ | 304,410 | 17 | % | ||||||
Residential securities | 926,669 | (305,995 | ) | 620,674 | 35 | % | |||||||||
Mortgage servicing rights | 118,526 | — | 118,526 | 7 | % | ||||||||||
Other assets/(other liabilities) | 168,914 | (43,131 | ) | 125,783 | 7 | % | |||||||||
Cash and liquidity capital | 333,702 | 19 | % | ||||||||||||
Total residential investments | $ | 3,518,518 | $ | (2,349,125 | ) | 1,503,095 | 85 | % | |||||||
Commercial investments (1) | $ | 97,017 | $ | (38 | ) | 96,979 | 5 | % | |||||||
Residential mortgage banking | 170,000 | 10 | % | ||||||||||||
Total | $ | 1,770,074 | 100 | % |
(1) | Includes $74 million of multi-family securities, $18 million of investment grade CMBS, and $3 million of commercial mezzanine loans. |
Years Ended December 31, | Changes | ||||||||||||||||||||
(In Thousands, except per Share Data) | 2016 | 2015 | 2014 | '16/'15 | '15/'14 | ||||||||||||||||
Net Interest Income | $ | 157,827 | $ | 163,549 | $ | 154,607 | $ | (5,722 | ) | $ | 8,942 | ||||||||||
Reversal of (provision for) loan losses | 7,102 | 355 | (961 | ) | 6,747 | 1,316 | |||||||||||||||
Net Interest Income After Provision | 164,929 | 163,904 | 153,646 | 1,025 | 10,258 | ||||||||||||||||
Non-interest Income | |||||||||||||||||||||
Mortgage banking activities, net | 38,691 | 10,972 | 34,994 | 27,719 | (24,022 | ) | |||||||||||||||
MSR income (loss), net | 14,353 | (3,922 | ) | (4,261 | ) | 18,275 | 339 | ||||||||||||||
Investment fair value changes, net | (28,574 | ) | (21,357 | ) | (10,202 | ) | (7,217 | ) | (11,155 | ) | |||||||||||
Other income | 6,338 | 3,192 | 1,781 | 3,146 | 1,411 | ||||||||||||||||
Realized gains, net | 28,009 | 36,369 | 15,478 | (8,360 | ) | 20,891 | |||||||||||||||
Total non-interest income, net | 58,817 | 25,254 | 37,790 | 33,563 | (12,536 | ) | |||||||||||||||
Operating expenses | (88,786 | ) | (97,416 | ) | (90,123 | ) | 8,630 | (7,293 | ) | ||||||||||||
Net income before income taxes | 134,960 | 91,742 | 101,313 | 43,218 | (9,571 | ) | |||||||||||||||
(Provision for) benefit from income taxes | (3,708 | ) | 10,346 | (744 | ) | (14,054 | ) | 11,090 | |||||||||||||
Net Income | $ | 131,252 | $ | 102,088 | $ | 100,569 | $ | 29,164 | $ | 1,519 | |||||||||||
Diluted earnings per common share | $ | 1.54 | $ | 1.18 | $ | 1.15 |
Years Ended December 31, | |||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||
(Dollars in Thousands) | Interest Income/ (Expense) | Average Balance (1) | Yield | Interest Income/ (Expense) | Average Balance (1) | Yield | Interest Income/ (Expense) | Average Balance (1) | Yield | ||||||||||||||||||||||||
Interest Income | |||||||||||||||||||||||||||||||||
Residential loans, held-for-sale | $ | 33,120 | $ | 908,353 | 3.6 | % | $ | 47,221 | $ | 1,289,684 | 3.7 | % | $ | 38,679 | $ | 993,089 | 3.9 | % | |||||||||||||||
Residential loans - HFI at Redwood (2) | 85,147 | 2,193,619 | 3.9 | % | 42,680 | 1,107,603 | 3.9 | % | 4,484 | 118,792 | 3.8 | % | |||||||||||||||||||||
Residential loans - HFI at Sequoia (2) | 19,537 | 882,079 | 2.2 | % | 24,814 | 1,224,857 | 2.0 | % | 25,786 | 1,604,556 | 1.6 | % | |||||||||||||||||||||
Commercial loans | 30,496 | 258,041 | 11.8 | % | 46,933 | 504,685 | 9.3 | % | 47,567 | 530,514 | 9.0 | % | |||||||||||||||||||||
Trading securities | 22,484 | 299,912 | 7.5 | % | 17,613 | 150,372 | 11.7 | % | 22,893 | 136,383 | 16.8 | % | |||||||||||||||||||||
Available-for-sale securities | 54,389 | 530,357 | 10.3 | % | 79,835 | 886,966 | 9.0 | % | 102,589 | 1,308,373 | 7.8 | % | |||||||||||||||||||||
Other interest income | 1,182 | 294,830 | 0.4 | % | 336 | 225,292 | 0.1 | % | 72 | 156,167 | — | % | |||||||||||||||||||||
Total interest income | 246,355 | 5,367,191 | 4.6 | % | 259,432 | 5,389,459 | 4.8 | % | 242,070 | 4,847,874 | 5.0 | % | |||||||||||||||||||||
Interest Expense | |||||||||||||||||||||||||||||||||
Short-term debt | (22,287 | ) | 1,089,352 | (2.0 | )% | (30,572 | ) | 1,671,184 | (1.8 | )% | (25,990 | ) | 1,522,965 | (1.7 | )% | ||||||||||||||||||
ABS issued - Redwood | (1,632 | ) | 21,159 | (7.7 | )% | (5,822 | ) | 87,982 | (6.6 | )% | (10,383 | ) | 190,694 | (5.4 | )% | ||||||||||||||||||
ABS issued - Sequoia (2) | (13,103 | ) | 861,020 | (1.5 | )% | (15,647 | ) | 1,164,887 | (1.3 | )% | (20,844 | ) | 1,541,282 | (1.4 | )% | ||||||||||||||||||
Long-term debt - FHLBC | (11,579 | ) | 1,980,971 | (0.6 | )% | (2,848 | ) | 894,671 | (0.3 | )% | (265 | ) | 99,945 | (0.3 | )% | ||||||||||||||||||
Long-term debt - other | (39,927 | ) | 665,453 | (6.0 | )% | (40,994 | ) | 686,354 | (6.0 | )% | (29,981 | ) | 516,518 | (5.8 | )% | ||||||||||||||||||
Total interest expense | (88,528 | ) | 4,617,955 | (1.9 | )% | (95,883 | ) | 4,505,078 | (2.1 | )% | (87,463 | ) | 3,871,404 | (2.3 | )% | ||||||||||||||||||
Net Interest Income | $ | 157,827 | $ | 163,549 | $ | 154,607 |
(1) | Average balances for residential and commercial loans held-for-sale, residential loans held-for-investment and trading securities are calculated based upon carrying values, which represent estimated fair values. Average balances for available-for-sale securities and debt are calculated based upon amortized historical cost, except for ABS issued-Sequoia, which is based upon fair value. |
(2) | Interest income from residential loans held-for-investment ("HFI") at Redwood exclude loans HFI at consolidated Sequoia entities. Interest income from residential loans - HFI at Sequoia and the interest expense from ABS issued - Sequoia represent activity from our consolidated Sequoia entities. |
Change in Net Interest Income | ||||||||||||||||||||||||
For the Years Ended December 31, | ||||||||||||||||||||||||
2016 | 2015 | |||||||||||||||||||||||
(In Thousands) | Volume | Rate | Total | Volume | Rate | Total | ||||||||||||||||||
Net Interest Income for the Beginning of the Year | $ | 163,549 | $ | 154,607 | ||||||||||||||||||||
Impact of Changes in Interest Income | ||||||||||||||||||||||||
Residential loans - HFS | $ | (13,962 | ) | $ | (139 | ) | (14,101 | ) | $ | 11,552 | $ | (3,010 | ) | 8,542 | ||||||||||
Residential loans - HFI at Redwood | 41,848 | 619 | 42,467 | 37,324 | 872 | 38,196 | ||||||||||||||||||
Residential loans - HFI at Sequoia | (6,944 | ) | 1,667 | (5,277 | ) | (6,102 | ) | 5,130 | (972 | ) | ||||||||||||||
Commercial loans | (22,937 | ) | 6,500 | (16,437 | ) | (1,394 | ) | 760 | (634 | ) | ||||||||||||||
Trading securities | 17,516 | (12,645 | ) | 4,871 | 2,348 | (7,628 | ) | (5,280 | ) | |||||||||||||||
Available-for-sale securities | (32,098 | ) | 6,652 | (25,446 | ) | (33,042 | ) | 10,288 | (22,754 | ) | ||||||||||||||
Other Interest Income | 104 | 742 | 846 | 32 | 232 | 264 | ||||||||||||||||||
Net changes in interest income | (16,473 | ) | 3,396 | (13,077 | ) | 10,718 | 6,644 | 17,362 | ||||||||||||||||
Impact of Changes in Interest Expense | ||||||||||||||||||||||||
Short-term debt | 10,644 | (2,359 | ) | 8,285 | (2,529 | ) | (2,053 | ) | (4,582 | ) | ||||||||||||||
ABS issued - Redwood | 4,422 | (232 | ) | 4,190 | 5,593 | (1,032 | ) | 4,561 | ||||||||||||||||
ABS issued - Sequoia | 4,082 | (1,538 | ) | 2,544 | 5,090 | 107 | 5,197 | |||||||||||||||||
Long-term debt - FHLBC | (3,458 | ) | (5,273 | ) | (8,731 | ) | (2,107 | ) | (476 | ) | (2,583 | ) | ||||||||||||
Long-term debt - Other | 1,248 | (181 | ) | 1,067 | (9,858 | ) | (1,155 | ) | (11,013 | ) | ||||||||||||||
Net changes in interest expense | 16,938 | (9,583 | ) | 7,355 | (3,811 | ) | (4,609 | ) | (8,420 | ) | ||||||||||||||
Net changes in interest income and expense | 465 | (6,187 | ) | (5,722 | ) | 6,907 | 2,035 | 8,942 | ||||||||||||||||
Net Interest Income for the Year Ended | $ | 157,827 | $ | 163,549 | ||||||||||||||||||||
Years Ended December 31, | Changes | ||||||||||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | '16/'15 | '15/'14 | ||||||||||||||||
Net Interest Income by Segment | |||||||||||||||||||||
Residential Investments | $ | 141,780 | $ | 124,191 | $ | 98,585 | $ | 17,589 | $ | 25,606 | |||||||||||
Residential Mortgage Banking | 19,470 | 35,053 | 45,496 | (15,583 | ) | (10,443 | ) | ||||||||||||||
Commercial | 27,779 | 33,124 | 31,731 | (5,345 | ) | 1,393 | |||||||||||||||
Corporate/Other | (31,202 | ) | (28,819 | ) | (21,205 | ) | (2,383 | ) | (7,614 | ) | |||||||||||
Net Interest Income | $ | 157,827 | $ | 163,549 | $ | 154,607 | $ | (5,722 | ) | $ | 8,942 |
December 31, 2016 | Residential Loans Held-for-Sale | Residential Securities | ||||
Asset yield | 3.81 | % | 4.83 | % | ||
Short-term debt yield | 2.40 | % | 1.91 | % | ||
Net Spread | 1.41 | % | 2.92 | % |
Years Ended December 31, | Changes | ||||||||||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | '16/'15 | '15/'14 | ||||||||||||||||
Segment Contribution from: | |||||||||||||||||||||
Residential Investments | $ | 146,884 | $ | 136,242 | $ | 96,763 | $ | 10,642 | $ | 39,479 | |||||||||||
Residential Mortgage Banking | 35,111 | 4,308 | 27,612 | 30,803 | (23,304 | ) | |||||||||||||||
Commercial | 38,135 | 26,304 | 33,529 | 11,831 | (7,225 | ) | |||||||||||||||
Corporate/Other | (88,878 | ) | (64,766 | ) | (57,335 | ) | (24,112 | ) | (7,431 | ) | |||||||||||
Net Income | $ | 131,252 | $ | 102,088 | $ | 100,569 | $ | 29,164 | $ | 1,519 |
Years Ended December 31, | Changes | ||||||||||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | '16/'15 | '15/'14 | ||||||||||||||||
Interest income | $ | 160,174 | $ | 135,395 | $ | 110,433 | $ | 24,779 | $ | 24,962 | |||||||||||
Interest expense | (18,394 | ) | (11,204 | ) | (11,848 | ) | (7,190 | ) | 644 | ||||||||||||
Net interest income | 141,780 | 124,191 | 98,585 | 17,589 | 25,606 | ||||||||||||||||
Non-interest income | |||||||||||||||||||||
MSR income (loss), net | 14,353 | (3,922 | ) | (4,261 | ) | 18,275 | 339 | ||||||||||||||
Investment fair value changes, net | (26,945 | ) | (20,089 | ) | (9,178 | ) | (6,856 | ) | (10,911 | ) | |||||||||||
Other income | 6,070 | 3,192 | 181 | 2,878 | 3,011 | ||||||||||||||||
Realized gains, net | 22,516 | 36,369 | 13,777 | (13,853 | ) | 22,592 | |||||||||||||||
Total non-interest income (loss), net | 15,994 | 15,550 | 519 | 444 | 15,031 | ||||||||||||||||
Direct operating expenses | (9,042 | ) | (4,346 | ) | (3,681 | ) | (4,696 | ) | (665 | ) | |||||||||||
Segment contribution before income taxes | 148,732 | 135,395 | 95,423 | 13,337 | 39,972 | ||||||||||||||||
(Provision for) benefit from income taxes | (1,848 | ) | 847 | 1,340 | (2,695 | ) | (493 | ) | |||||||||||||
Total Segment Contribution | $ | 146,884 | $ | 136,242 | $ | 96,763 | $ | 10,642 | $ | 39,479 |
(In Thousands) | December 31, 2016 | December 31, 2015 | Change | |||||||||
Residential loans held-for-investment | $ | 2,261,016 | $ | 1,791,195 | $ | 469,821 | ||||||
Residential securities | 926,669 | 1,028,171 | (101,502 | ) | ||||||||
Mortgage servicing rights | 118,526 | 191,976 | (73,450 | ) | ||||||||
Total Residential Investments | $ | 3,306,211 | $ | 3,011,342 | $ | 294,869 |
Years Ended December 31, | Changes | ||||||||||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | '16/'15 | '15/'14 | ||||||||||||||||
Net interest income from HFI loans | $ | 73,560 | $ | 39,703 | $ | 4,219 | $ | 33,857 | $ | 35,484 | |||||||||||
Net interest income from securities | 67,210 | 84,183 | 94,307 | (16,973 | ) | (10,124 | ) | ||||||||||||||
Other interest income | 1,010 | 305 | 59 | 705 | 246 | ||||||||||||||||
NII from Residential Investments | $ | 141,780 | $ | 124,191 | $ | 98,585 | $ | 17,589 | $ | 25,606 |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Investment Fair Value Changes, Net | ||||||||||||
Market valuation changes: | ||||||||||||
Residential loans held-for-investment (1) | $ | (23,102 | ) | $ | (6,337 | ) | $ | (697 | ) | |||
Trading securities - IOs | (4,005 | ) | 955 | — | ||||||||
Trading securities - other | 13,264 | (2,974 | ) | (358 | ) | |||||||
Risk sharing investments | (1,151 | ) | (1,886 | ) | 104 | |||||||
Risk management derivatives | (11,583 | ) | (9,601 | ) | (7,662 | ) | ||||||
Impairments on AFS securities | (368 | ) | (246 | ) | (565 | ) | ||||||
Investment Fair Value Changes, Net | $ | (26,945 | ) | $ | (20,089 | ) | $ | (9,178 | ) |
(1) | Market valuation changes from residential loans held-for-investment above do not include loans at consolidated Sequoia entities, which are not included in this segment. |
Year Ended | ||||
(In Thousands) | December 31, 2016 | |||
Market valuation changes on: | ||||
Residential loans held-for-investment | ||||
Change in fair value from the reduction of principal (1) | $ | (15,523 | ) | |
Change in fair value from changes in interest rates and spreads (2) | (7,579 | ) | ||
Total change in fair value of residential loans held-for-investment | (23,102 | ) | ||
Residential securities | ||||
Change in fair value from the reduction of principal (1) | (5,214 | ) | ||
Change in fair value from changes in interest rates and spreads (2) | 12,954 | |||
Total change in fair value of residential securities | 7,740 | |||
Risk management derivatives | ||||
Interest component of derivative expense | (8,922 | ) | ||
Change in fair value of derivatives from changes in interest rates (3) | (2,661 | ) | ||
Total change in fair value of risk management derivatives | (11,583 | ) | ||
Total Residential Investments Fair Value Changes, Net (4) | $ | (26,945 | ) |
(1) | Reflects the change in fair value due to principal changes, which is calculated as the change in principal on a given investment during the period, multiplied by the prior quarter ending price or acquisition price for that investment in percentage terms. |
(2) | Reflects changes in prepayment assumptions and credit spreads on our residential loans, residential trading securities and risk-sharing investments primarily due to changes in benchmark interest rates. |
(3) | Reflects the change in fair value of our risk management derivatives that are associated with changes in benchmark interest rates during the period. |
(4) | Total investment fair value changes, net, on our consolidated financial statements also includes negative $4 million of market valuation changes related to our investments in legacy consolidated Sequoia entities, which is included in Corporate/Other for segment reporting, and positive $3 million of market valuation changes related to commercial securities and the associated derivatives, which are included in our Commercial segment. |
Years Ended December 31, | Changes | ||||||||||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | '16/'15 | '15/'14 | ||||||||||||||||
Net servicing fee income | $ | 34,871 | $ | 33,885 | $ | 17,528 | $ | 986 | $ | 16,357 | |||||||||||
Changes in fair value of MSR from the receipt of expected cash flows | (21,860 | ) | (18,939 | ) | (8,614 | ) | (2,921 | ) | (10,325 | ) | |||||||||||
MSR provision for repurchases | 270 | (707 | ) | (708 | ) | 977 | 1 | ||||||||||||||
MSR income before the effect of changes in interest rates and other assumptions | 13,281 | 14,239 | 8,206 | (958 | ) | 6,033 | |||||||||||||||
Changes in fair value of MSR from interest rates and other assumptions (1) | (14,512 | ) | (5,453 | ) | (12,467 | ) | (9,059 | ) | 7,014 | ||||||||||||
Changes in fair value of associated derivatives | 15,584 | (12,708 | ) | — | 28,292 | (12,708 | ) | ||||||||||||||
Total net effect of changes in assumptions and rates | 1,072 | (18,161 | ) | (12,467 | ) | 19,233 | (5,694 | ) | |||||||||||||
MSR Income (Loss), Net | $ | 14,353 | $ | (3,922 | ) | $ | (4,261 | ) | $ | 18,275 | $ | 339 |
(1) | Primarily reflects changes in prepayment assumptions on our MSRs due to changes in benchmark interest rates. |
Years Ended December 31, | ||||||||
(In Thousands) | 2016 | 2015 | ||||||
Fair value at beginning of period | $ | 1,791,195 | $ | 581,668 | ||||
Transfers between portfolios | 1,007,389 | 1,401,541 | ||||||
Sales and principal repayments | (514,466 | ) | (185,677 | ) | ||||
Changes in fair value, net | (23,102 | ) | (6,337 | ) | ||||
Fair Value at End of Period | $ | 2,261,016 | $ | 1,791,195 |
December 31, 2016 | |||||||
(Dollars in Thousands) | Principal Balance | Weighted Average Coupon | |||||
Fixed - 30 year | $ | 2,159,634 | 4.12 | % | |||
Fixed - 15, 20, & 25 year | 63,906 | 3.61 | % | ||||
Hybrid | 10,257 | 3.83 | % | ||||
Total Outstanding Principal | $ | 2,233,797 |
Year Ended December 31, 2016 | Senior | Re-REMIC(1) | Subordinate | Total | ||||||||||||
(In Thousands) | ||||||||||||||||
Beginning fair value | $ | 336,595 | $ | 165,064 | $ | 526,512 | $ | 1,028,171 | ||||||||
Transfers (2) | 76,947 | (76,947 | ) | — | — | |||||||||||
Acquisitions | ||||||||||||||||
Sequoia securities | — | — | 10,606 | 10,606 | ||||||||||||
Third-party securities | 4,943 | — | 227,248 | 232,191 | ||||||||||||
Sales | ||||||||||||||||
Sequoia securities | (21,016 | ) | — | (51,034 | ) | (72,050 | ) | |||||||||
Third-party securities | (186,960 | ) | — | (41,486 | ) | (228,446 | ) | |||||||||
Gains on sales and calls, net | 16,008 | — | 6,507 | 22,515 | ||||||||||||
Effect of principal payments (3) | (28,200 | ) | (6,758 | ) | (32,894 | ) | (67,852 | ) | ||||||||
Change in fair value, net | (24,704 | ) | 4,120 | 22,118 | 1,534 | |||||||||||
Ending Fair Value | $ | 173,613 | $ | 85,479 | $ | 667,577 | $ | 926,669 |
Year Ended December 31, 2015 | Senior | Re-REMIC(1) | Subordinate | Total | ||||||||||||
(In Thousands) | ||||||||||||||||
Beginning fair value | $ | 495,508 | $ | 168,347 | $ | 621,573 | $ | 1,285,428 | ||||||||
Transfers (2) | 65,809 | — | — | 65,809 | ||||||||||||
Acquisitions | ||||||||||||||||
Sequoia securities | 35,074 | — | 17,980 | 53,054 | ||||||||||||
Third-party securities | 9,649 | — | 161,538 | 171,187 | ||||||||||||
Sales | ||||||||||||||||
Sequoia securities | (47,738 | ) | — | (212,145 | ) | (259,883 | ) | |||||||||
Third-party securities | (110,124 | ) | (1,170 | ) | (64,697 | ) | (175,991 | ) | ||||||||
Gains on sales and calls, net | 14,998 | — | 21,371 | 36,369 | ||||||||||||
Effect of principal payments (3) | (97,774 | ) | (518 | ) | (19,446 | ) | (117,738 | ) | ||||||||
Change in fair value, net | (28,807 | ) | (1,595 | ) | 338 | (30,064 | ) | |||||||||
Ending Fair Value | $ | 336,595 | $ | 165,064 | $ | 526,512 | $ | 1,028,171 |
(1) | Re-REMIC securities, as presented herein, were created by third parties through the resecuritization of certain senior RMBS. |
(2) | In 2016, certain Re-REMIC securities we held were exchanged for the underlying senior securities. In 2015, we transferred certain securities from our Residential Mortgage Banking segment into this segment. |
(3) | The effect of principal payments reflects the change in fair value due to principal payments, which is calculated as the cash principal received on a given security during the period multiplied by the prior quarter ending price or acquisition price for that security. |
December 31, 2016 | Residential Securities | Repurchase Debt | Allocated Capital | Weighted Average Price(1) | Financing Haircut(2) | ||||||||||||||
(Dollars in Thousands, except Weighted Average Price) | |||||||||||||||||||
Residential Securities | |||||||||||||||||||
Senior | $ | 52,569 | $ | (45,068 | ) | $ | 7,501 | $ | 93 | 14 | % | ||||||||
Mezzanine | 310,126 | (260,927 | ) | 49,199 | 97 | 16 | % | ||||||||||||
Total | $ | 362,695 | $ | (305,995 | ) | $ | 56,700 | 97 | 16 | % |
(1) | GAAP fair value per $100 of principal. |
(2) | Allocated capital divided by GAAP fair value. |
Sequoia 2012-2016 | Third Party 2013-2016 | Agency CRT 2013-2016 | Third Party 2006-2008 | Third Party <=2005 | Total Securities | % of Total Securities | |||||||||||||||||||||
December 31, 2016 | |||||||||||||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||||
Senior | |||||||||||||||||||||||||||
Prime | $ | 26,618 | $ | 2,919 | $ | 2,692 | $ | 80,538 | $ | 48,306 | $ | 161,073 | 18 | % | |||||||||||||
Non-prime | — | — | — | 108 | 12,432 | 12,540 | 1 | % | |||||||||||||||||||
Total Senior | 26,618 | 2,919 | 2,692 | 80,646 | 60,738 | 173,613 | 19 | % | |||||||||||||||||||
Re-REMIC | — | — | — | 28,454 | 57,025 | 85,479 | 9 | % | |||||||||||||||||||
Subordinate | |||||||||||||||||||||||||||
Prime Mezzanine (1) | 136,007 | 144,710 | 34,680 | — | — | 315,397 | 34 | % | |||||||||||||||||||
Prime Subordinate (2) | 113,310 | 64,450 | 152,126 | 527 | 21,767 | 352,180 | 38 | % | |||||||||||||||||||
Total Subordinate | 249,317 | 209,160 | 186,806 | 527 | 21,767 | 667,577 | 72 | % | |||||||||||||||||||
Total Securities | $ | 275,935 | $ | 212,079 | $ | 189,498 | $ | 109,627 | $ | 139,530 | $ | 926,669 | 100 | % |
Sequoia 2012-2015 | Third Party 2012-2015 | Agency CRT 2013-2015 | Third Party 2006-2008 | Third Party <=2005 | Total Securities | % of Total Securities | |||||||||||||||||||||
December 31, 2015 | |||||||||||||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||||
Senior | |||||||||||||||||||||||||||
Prime | $ | 51,563 | $ | — | $ | — | $ | 36,358 | $ | 174,635 | $ | 262,556 | 26 | % | |||||||||||||
Non-prime | — | — | — | 133 | 73,906 | 74,039 | 7 | % | |||||||||||||||||||
Total Senior | 51,563 | — | — | 36,491 | 248,541 | 336,595 | 33 | % | |||||||||||||||||||
Re-REMIC | — | — | — | 108,594 | 56,470 | 165,064 | 16 | % | |||||||||||||||||||
Subordinate | |||||||||||||||||||||||||||
Prime Mezzanine (1) | 185,993 | 127,233 | 34,976 | — | — | 348,202 | 34 | % | |||||||||||||||||||
Prime Subordinate (2) | 96,849 | 35,361 | 13,244 | 812 | 32,044 | 178,310 | 17 | % | |||||||||||||||||||
Total Subordinate | 282,842 | 162,594 | 48,220 | 812 | 32,044 | 526,512 | 51 | % | |||||||||||||||||||
Total Securities | $ | 334,405 | $ | 162,594 | $ | 48,220 | $ | 145,897 | $ | 337,055 | $ | 1,028,171 | 100 | % |
(1) | Prime mezzanine includes securities initially rated AA through BBB- and issued in 2012 or later. |
(2) | Subordinate securities include less than $1 million of non-prime securities at both December 31, 2016 and December 31, 2015. |
Year Ended December 31, 2016 | Yield as a Result of | ||||||||||||||||||||||||
Interest Income | Discount (Premium) Amortization | Total Interest Income | Average Amortized Cost | Interest Income | Discount (Premium) Amortization | Total Interest Income | |||||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||
Residential | |||||||||||||||||||||||||
Senior | $ | 4,636 | $ | 6,055 | $ | 10,691 | $ | 118,617 | 3.91 | % | 5.10 | % | 9.01 | % | |||||||||||
Re-REMIC | 6,619 | 11,765 | 18,384 | 103,762 | 6.38 | % | 11.34 | % | 17.72 | % | |||||||||||||||
Subordinate | |||||||||||||||||||||||||
Mezzanine | 7,260 | 2,686 | 9,946 | 184,602 | 3.93 | % | 1.46 | % | 5.39 | % | |||||||||||||||
Subordinate | 9,621 | 5,747 | 15,368 | 123,376 | 7.80 | % | 4.66 | % | 12.46 | % | |||||||||||||||
Total AFS Securities | $ | 28,136 | $ | 26,253 | $ | 54,389 | $ | 530,357 | 5.31 | % | 4.95 | % | 10.26 | % |
Year Ended December 31, 2015 | Yield as a Result of | ||||||||||||||||||||||||
Interest Income | Discount (Premium) Amortization | Total Interest Income | Average Amortized Cost | Interest Income | Discount (Premium) Amortization | Total Interest Income | |||||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||
Residential | |||||||||||||||||||||||||
Senior | $ | 13,633 | $ | 17,650 | $ | 31,283 | $ | 385,072 | 3.54 | % | 4.58 | % | 8.12 | % | |||||||||||
Re-REMIC | 8,648 | 9,200 | 17,848 | 104,414 | 8.28 | % | 8.81 | % | 17.09 | % | |||||||||||||||
Subordinate | |||||||||||||||||||||||||
Mezzanine | 11,466 | 3,519 | 14,985 | 283,049 | 4.05 | % | 1.24 | % | 5.29 | % | |||||||||||||||
Subordinate | 9,238 | 6,481 | 15,719 | 114,431 | 8.07 | % | 5.66 | % | 13.73 | % | |||||||||||||||
Total AFS Securities | $ | 42,985 | $ | 36,850 | $ | 79,835 | $ | 886,966 | 4.85 | % | 4.15 | % | 9.00 | % |
Year Ended December 31, 2014 | Yield as a Result of | ||||||||||||||||||||||||
Interest Income | Discount (Premium) Amortization | Total Interest Income | Average Amortized Cost | Interest Income | Discount (Premium) Amortization | Total Interest Income | |||||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||
Residential | |||||||||||||||||||||||||
Senior | $ | 22,894 | $ | 25,554 | $ | 48,448 | $ | 676,399 | 3.38 | % | 3.78 | % | 7.16 | % | |||||||||||
Re-REMIC | 10,481 | 6,246 | 16,727 | 111,590 | 9.39 | % | 5.60 | % | 14.99 | % | |||||||||||||||
Subordinate | |||||||||||||||||||||||||
Mezzanine | 16,976 | 3,876 | 20,852 | 411,119 | 4.13 | % | 0.94 | % | 5.07 | % | |||||||||||||||
Subordinate | 9,412 | 7,159 | 16,571 | 109,265 | 8.61 | % | 6.55 | % | 15.16 | % | |||||||||||||||
Total AFS Securities | $ | 59,763 | $ | 42,835 | $ | 102,598 | $ | 1,308,373 | 4.57 | % | 3.27 | % | 7.84 | % |
December 31, 2016 | Senior | Re-REMIC | Subordinate | Total | ||||||||||||
(In Thousands) | ||||||||||||||||
Principal balance | $ | 148,862 | $ | 95,608 | $ | 456,359 | $ | 700,829 | ||||||||
Credit reserve | (4,814 | ) | (6,857 | ) | (35,802 | ) | (47,473 | ) | ||||||||
Unamortized discount, net | (41,877 | ) | (19,613 | ) | (136,622 | ) | (198,112 | ) | ||||||||
Amortized cost | 102,171 | 69,138 | 283,935 | 455,244 | ||||||||||||
Gross unrealized gains | 36,304 | 16,341 | 68,032 | 120,677 | ||||||||||||
Gross unrealized losses | (1,929 | ) | — | (1,240 | ) | (3,169 | ) | |||||||||
Carrying Value | $ | 136,546 | $ | 85,479 | $ | 350,727 | $ | 572,752 |
December 31, 2015 | Senior | Re-REMIC | Subordinate | Total | ||||||||||||
(In Thousands) | ||||||||||||||||
Principal balance | $ | 293,196 | $ | 189,782 | $ | 490,249 | $ | 973,227 | ||||||||
Credit reserve | (6,406 | ) | (10,332 | ) | (32,131 | ) | (48,869 | ) | ||||||||
Unamortized discount, net | (30,474 | ) | (71,670 | ) | (134,963 | ) | (237,107 | ) | ||||||||
Amortized cost | 256,316 | 107,780 | 323,155 | 687,251 | ||||||||||||
Gross unrealized gains | 26,512 | 57,284 | 63,205 | 147,001 | ||||||||||||
Gross unrealized losses | (3,577 | ) | — | (1,430 | ) | (5,007 | ) | |||||||||
Carrying Value | $ | 279,251 | $ | 165,064 | $ | 384,930 | $ | 829,245 |
Years Ended December 31, | ||||||||||||||||||||||||
2016 | 2015 | |||||||||||||||||||||||
(In Thousands) | Jumbo | Conforming | Total MSRs | Jumbo | Conforming | Total MSRs | ||||||||||||||||||
Balance at beginning of period | $ | 58,138 | $ | 133,838 | $ | 191,976 | $ | 57,992 | $ | 81,301 | $ | 139,293 | ||||||||||||
Additions | ||||||||||||||||||||||||
MSRs retained from Sequoia securitizations | 6,451 | — | 6,451 | 8,202 | — | 8,202 | ||||||||||||||||||
MSRs retained from third-party loan sales | 177 | 3,380 | 3,557 | 352 | 55,954 | 56,306 | ||||||||||||||||||
Purchased MSRs | — | 15,354 | 15,354 | — | 30,773 | 30,773 | ||||||||||||||||||
Sold MSRs | — | (62,440 | ) | (62,440 | ) | (132 | ) | (18,074 | ) | (18,206 | ) | |||||||||||||
Market valuation adjustments | (4,763 | ) | (31,609 | ) | (36,372 | ) | (8,276 | ) | (16,116 | ) | (24,392 | ) | ||||||||||||
Balance at End of Period | $ | 60,003 | $ | 58,523 | $ | 118,526 | $ | 58,138 | $ | 133,838 | $ | 191,976 |
December 31, 2016 | ||||||||||||
(Dollars In Thousands) | Jumbo | Conforming | Total | |||||||||
Unpaid principal balance | $ | 5,467,169 | $ | 4,989,720 | $ | 10,456,889 | ||||||
Fair value of MSRs | $ | 60,003 | $ | 58,523 | $ | 118,526 | ||||||
MSR values as percent of unpaid principal balance | 1.10 | % | 1.17 | % | 1.13 | % | ||||||
Gross cash yield (1) | 0.25 | % | 0.26 | % | 0.26 | % | ||||||
Number of loans | 7,969 | 20,751 | 28,720 | |||||||||
Average loan size | $ | 686 | $ | 240 | $ | 364 | ||||||
Average coupon | 3.97 | % | 3.87 | % | 3.92 | % | ||||||
Average loan age (months) | 34 | 24 | 29 | |||||||||
Average original loan-to-value | 67 | % | 75 | % | 71 | % | ||||||
Average original FICO score | 770 | 759 | 765 | |||||||||
60+ day delinquencies | 0.07 | % | 0.35 | % | 0.20 | % |
(1) | Gross cash yield is calculated by dividing the annualized quarterly gross servicing fees we received for the year ended December 31, 2016, by the weighted average notional balance of loans associated with MSRs we owned during that period. |
Years Ended December 31, | Changes | ||||||||||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | '16/'15 | '15/'14 | ||||||||||||||||
Interest income | |||||||||||||||||||||
Loans | $ | 33,089 | $ | 47,222 | $ | 38,680 | $ | (14,133 | ) | $ | 8,542 | ||||||||||
Sequoia securities | 572 | 5,038 | 19,592 | (4,466 | ) | (14,554 | ) | ||||||||||||||
Total interest income | 33,661 | 52,260 | 58,272 | (18,599 | ) | (6,012 | ) | ||||||||||||||
Interest expense | (14,191 | ) | (17,207 | ) | (12,776 | ) | 3,016 | (4,431 | ) | ||||||||||||
Net interest income | 19,470 | 35,053 | 45,496 | (15,583 | ) | (10,443 | ) | ||||||||||||||
Mortgage banking activities, net | 40,753 | 8,268 | 21,554 | 32,485 | (13,286 | ) | |||||||||||||||
Direct operating expenses | (23,252 | ) | (43,182 | ) | (37,664 | ) | 19,930 | (5,518 | ) | ||||||||||||
Segment contribution before income taxes | 36,971 | 139 | 29,386 | 36,832 | (29,247 | ) | |||||||||||||||
(Provision for) benefit from income taxes | (1,860 | ) | 4,169 | (1,774 | ) | (6,029 | ) | 5,943 | |||||||||||||
Segment Contribution | $ | 35,111 | $ | 4,308 | $ | 27,612 | $ | 30,803 | $ | (23,304 | ) |
Years Ended December 31, | ||||||||||||||||||||||||
2016 | 2015 | |||||||||||||||||||||||
(In Thousands) | Jumbo | Conforming | Total | Jumbo | Conforming | Total | ||||||||||||||||||
Balance at beginning of period | $ | 985,919 | $ | 129,819 | $ | 1,115,738 | $ | 1,097,805 | $ | 244,714 | $ | 1,342,519 | ||||||||||||
Acquisitions | 4,747,564 | 197,860 | 4,945,424 | 5,140,362 | 5,335,388 | 10,475,750 | ||||||||||||||||||
Sales | (3,813,538 | ) | (329,620 | ) | (4,143,158 | ) | (3,862,155 | ) | (5,454,215 | ) | (9,316,370 | ) | ||||||||||||
Transfers between portfolios (1) | (1,007,389 | ) | — | (1,007,389 | ) | (1,309,919 | ) | — | (1,309,919 | ) | ||||||||||||||
Principal repayments | (80,838 | ) | (84 | ) | (80,922 | ) | (77,463 | ) | (2,490 | ) | (79,953 | ) | ||||||||||||
Changes in fair value, net | 3,681 | 2,025 | 5,706 | (2,711 | ) | 6,422 | 3,711 | |||||||||||||||||
Balance at End of Period | $ | 835,399 | $ | — | $ | 835,399 | $ | 985,919 | $ | 129,819 | $ | 1,115,738 |
(1) | Represents the net transfers of loans out of our Residential Mortgage Banking segment into our Residential Investments segment and their reclassification from held-for-sale to held-for-investment. |
Years Ended December 31, | ||||||||
(In Thousands) | 2016 | 2015 | ||||||
Beginning fair value | $ | 197,007 | $ | 93,802 | ||||
Transfers between portfolios | — | (65,809 | ) | |||||
Acquisitions | — | 201,041 | ||||||
Sales | (195,107 | ) | (13,588 | ) | ||||
Effect of principal payments (2) | (3,403 | ) | (3,261 | ) | ||||
Change in fair value, net | 1,503 | (15,178 | ) | |||||
Ending Fair Value | $ | — | $ | 197,007 |
(1) | Prior to the second quarter of 2015, this segment included Sequoia securities that were used in part to mitigate certain risks related to interest rate movements on our residential loan pipeline. During the second quarter of 2015, we transferred all then outstanding Sequoia securities from our Residential Mortgage Banking segment to our Residential Investments segment. In addition, in the fourth quarter of 2015, we retained senior securities from a Sequoia securitization we sponsored that quarter, which we subsequently sold during the first quarter of 2016. |
(2) | The effect of principal payments reflects the change in fair value due to principal payments, which is calculated as the cash principal received on a given security during the period multiplied by the prior quarter ending price or acquisition price for that security. |
Years Ended December 31, | Changes | ||||||||||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | '16/'15 | '15/'14 | ||||||||||||||||
Changes in fair value of: | |||||||||||||||||||||
Residential loans, at fair value (1) | $ | 31,399 | $ | 53,946 | $ | 65,202 | $ | (22,547 | ) | $ | (11,256 | ) | |||||||||
Sequoia securities | 1,455 | (15,261 | ) | (23,839 | ) | 16,716 | 8,578 | ||||||||||||||
Risk management derivatives (2) | 5,696 | (34,457 | ) | (23,277 | ) | 40,153 | (11,180 | ) | |||||||||||||
Other income, net (3) | 2,203 | 4,040 | 3,468 | (1,837 | ) | 572 | |||||||||||||||
Total Residential Mortgage Banking Activities, Net | $ | 40,753 | $ | 8,268 | $ | 21,554 | $ | 32,485 | $ | (13,286 | ) |
(1) | Includes changes in fair value for loan purchase and forward sale commitments. |
(2) | Represents market valuation changes of derivatives that are used to manage risks associated with our accumulation of residential loans. |
(3) | Amounts in this line include other fee income from loan acquisitions and the provision for repurchase expense, presented net. |
December 31, 2016 | Principal Value | Weighted Average Coupon | |||||
(Dollars in Thousands) | |||||||
First Lien Prime | |||||||
Fixed - 30 year | $ | 650,223 | 4.01 | % | |||
Fixed - 15, 20, & 25 year | 38,106 | 3.42 | % | ||||
Hybrid | 143,481 | 3.34 | % | ||||
Total Outstanding Principal | $ | 831,810 |
Years Ended December 31, | Changes | |||||||||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | '16/'15 | '15/'14 | |||||||||||||||
Interest income | $ | 32,780 | $ | 46,933 | $ | 47,567 | $ | (14,153 | ) | $ | (634 | ) | ||||||||
Interest expense | (5,001 | ) | (13,809 | ) | (15,836 | ) | 8,808 | 2,027 | ||||||||||||
Net interest income | 27,779 | 33,124 | 31,731 | (5,345 | ) | 1,393 | ||||||||||||||
Reversal of (provision for) loan losses | 7,102 | 355 | (84 | ) | 6,747 | 439 | ||||||||||||||
Mortgage banking activities, net | (2,062 | ) | 2,704 | 13,440 | (4,766 | ) | (10,736 | ) | ||||||||||||
Investment fair value changes, net | 2,578 | — | — | 2,578 | — | |||||||||||||||
Other income | 268 | — | — | 268 | — | |||||||||||||||
Realized gains, net | 5,201 | — | — | 5,201 | — | |||||||||||||||
Direct operating expenses | (2,731 | ) | (11,331 | ) | (11,324 | ) | 8,600 | (7 | ) | |||||||||||
Segment contribution before income taxes | 38,135 | 24,852 | 33,763 | 13,283 | (8,911 | ) | ||||||||||||||
Benefit from (provision for) income taxes | — | 1,452 | (234 | ) | (1,452 | ) | 1,686 | |||||||||||||
Total Segment Contribution | $ | 38,135 | $ | 26,304 | $ | 33,529 | $ | 11,831 | $ | (7,225 | ) |
Years Ended December 31, | ||||||||||||||||
2016 | 2015 | |||||||||||||||
(In Thousands) | Held-for-Sale | Held-for-Investment | Held-for-Sale | Held-for-Investment | ||||||||||||
Balance at beginning of period | $ | 39,141 | $ | 363,506 | $ | 166,234 | $ | 400,693 | ||||||||
Originations/acquisitions | 37,625 | — | 617,518 | 22,218 | ||||||||||||
Sales | (366,486 | ) | — | (754,691 | ) | — | ||||||||||
Transfers between portfolios | 302,580 | (302,580 | ) | — | — | |||||||||||
Principal repayments | (15,864 | ) | (70,529 | ) | (185 | ) | (57,496 | ) | ||||||||
Discount amortization | — | 330 | — | 747 | ||||||||||||
Reversal of provision for loan losses | — | 7,102 | — | 355 | ||||||||||||
Changes in fair value, net | 5,704 | 2,171 | 10,265 | (3,011 | ) | |||||||||||
Balance at End of Period | $ | 2,700 | $ | — | $ | 39,141 | $ | 363,506 |
Years Ended December 31, | Changes | ||||||||||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | '16/'15 | '15/'14 | ||||||||||||||||
Senior loans held-for-sale | $ | 356 | $ | 2,404 | $ | 4,324 | $ | (2,048 | ) | $ | (1,920 | ) | |||||||||
Mezzanine loans | 25,168 | 30,720 | 27,407 | (5,552 | ) | 3,313 | |||||||||||||||
Trading securities | 2,255 | — | — | 2,255 | — | ||||||||||||||||
Net Interest Income | $ | 27,779 | $ | 33,124 | $ | 31,731 | $ | (7,600 | ) | $ | 1,393 |
Years Ended December 31, | Changes | ||||||||||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | '16/'15 | '15/'14 | ||||||||||||||||
Changes in fair value of: | |||||||||||||||||||||
Commercial loans held-for sale | $ | 433 | $ | 10,265 | $ | 20,789 | $ | (9,832 | ) | $ | (10,524 | ) | |||||||||
Risk management derivatives | (2,538 | ) | (8,011 | ) | (7,890 | ) | 5,473 | (121 | ) | ||||||||||||
Other fee income | 43 | 450 | 541 | (407 | ) | (91 | ) | ||||||||||||||
Total Mortgage Banking Activities, Net | $ | (2,062 | ) | $ | 2,704 | $ | 13,440 | $ | (4,766 | ) | $ | (10,736 | ) |
Years Ended December 31, | Changes | ||||||||||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | '16/'15 | '15/'14 | ||||||||||||||||
Interest income | $ | 19,537 | $ | 24,814 | $ | 25,786 | $ | (5,277 | ) | $ | (972 | ) | |||||||||
Interest expense | (13,103 | ) | (15,646 | ) | (20,844 | ) | 2,543 | 5,198 | |||||||||||||
Net interest income | 6,434 | 9,168 | 4,942 | (2,734 | ) | 4,226 | |||||||||||||||
Reversal of provision for loan losses | — | — | (877 | ) | — | 877 | |||||||||||||||
Investment fair value changes, net | (4,200 | ) | (1,192 | ) | (894 | ) | (3,008 | ) | (298 | ) | |||||||||||
Realized gains | — | — | 1,701 | — | (1,701 | ) | |||||||||||||||
Operating expenses | — | — | (165 | ) | — | 165 | |||||||||||||||
Net Income from Consolidated Sequoia Entities | $ | 2,234 | $ | 7,976 | $ | 4,707 | $ | (5,742 | ) | $ | 3,269 |
(In Thousands) | December 31, 2016 | December 31, 2015 | ||||||
Residential loans held for investment, at fair value | $ | 791,636 | $ | 1,021,870 | ||||
Other assets | 6,681 | 6,254 | ||||||
Total Assets | $ | 798,317 | $ | 1,028,124 | ||||
Other liabilities | $ | 518 | $ | 655 | ||||
Asset-backed securities issued, at fair value | 773,462 | 996,820 | ||||||
Total liabilities | 773,980 | 997,475 | ||||||
Equity (fair value of Redwood's retained investments in entities) | 24,337 | 30,649 | ||||||
Total Liabilities and Equity | $ | 798,317 | $ | 1,028,124 |
Years Ended December 31, | ||||||||
(In Thousands) | 2016 | 2015 | ||||||
Balance at beginning of period | $ | 1,021,870 | $ | 1,474,386 | ||||
ASU 2014-13 election adjustment (1) | — | (103,649 | ) | |||||
Adjusted beginning balance | 1,021,870 | 1,370,737 | ||||||
Principal repayments | (197,407 | ) | (258,876 | ) | ||||
Transfers to REO | (11,566 | ) | (5,792 | ) | ||||
Transfers between portfolios (2) | — | (91,622 | ) | |||||
Deconsolidation adjustments | (6,871 | ) | — | |||||
Changes in fair value, net | (14,390 | ) | 7,423 | |||||
Balance at End of Period | $ | 791,636 | $ | 1,021,870 |
(1) | On January 1, 2015, we adopted ASU 2014-13 and began to account for residential loans held-for-investment and asset backed securities issued at consolidated Sequoia entities at fair value. See Note 3 — Summary of Significant Accounting Policies to our Consolidated Financial Statements included in Part II, Item 8 of this Annual Report on Form 10-K for further discussion. |
(2) | During the fourth quarter of 2015, we exercised our rights to call three consolidated Sequoia entities. |
December 31, 2016 | |||||||
(Dollars in Thousands) | Principal Balance | Weighted Average Coupon | |||||
First Lien | |||||||
ARM | $ | 869,290 | 2.12 | % | |||
Hybrid (1) | 17,691 | 3.03 | % | ||||
Total Outstanding Principal | $ | 886,981 |
(1) | All of these loans have reached the initial interest rate reset date and are currently adjustable rate mortgages. |
Years Ended December 31, | ||||||||||||
(In Thousands except per Share Data) | 2016 est. (1) | 2015 | 2014 | |||||||||
REIT taxable income | $ | 97,278 | $ | 85,685 | $ | 63,989 | ||||||
Taxable REIT subsidiary income (loss) | 68,072 | (42,034 | ) | (18,242 | ) | |||||||
Total Taxable Income | $ | 165,350 | $ | 43,651 | $ | 45,747 | ||||||
REIT taxable income per share | $ | 1.27 | $ | 1.05 | $ | 0.77 | ||||||
Total taxable income per share | $ | 2.15 | $ | 0.55 | $ | 0.55 | ||||||
Distributions to shareholders | $ | 86,240 | $ | 92,493 | $ | 92,935 | ||||||
Distributions to shareholders per share | $ | 1.12 | $ | 1.12 | $ | 1.12 |
(1) | Our tax results for the year ended December 31, 2016 are estimates until we file tax returns for 2016. |
Loss Carryforward Expiration by Period | ||||||||||||||||||||
1 to 3 | 3 to 5 | 5 to 15 | After 15 | |||||||||||||||||
(In Thousands) | Years | Years | Years | Years | Total | |||||||||||||||
REIT Loss Carryforwards | ||||||||||||||||||||
Net operating loss | $ | — | $ | — | $ | — | $ | (58,782 | ) | $ | (58,782 | ) | ||||||||
Capital loss | (121,468 | ) | — | — | — | (121,468 | ) | |||||||||||||
Total REIT Loss Carryforwards | $ | (121,468 | ) | $ | — | $ | — | $ | (58,782 | ) | $ | (180,250 | ) | |||||||
TRS Loss Carryforwards | ||||||||||||||||||||
Net operating loss | $ | — | $ | — | $ | — | $ | (28,050 | ) | $ | (28,050 | ) | ||||||||
Capital loss | (3,820 | ) | (2,895 | ) | — | — | (6,715 | ) | ||||||||||||
Total TRS Loss Carryforwards | $ | (3,820 | ) | $ | (2,895 | ) | $ | — | $ | (28,050 | ) | $ | (34,765 | ) | ||||||
Year Ended December 31, 2016 | ||||||||||||||||||||
(In Thousands, except per Share Data) | REIT (Est.) | TRS (Est.) | Total Tax (Est.) | GAAP | Differences | |||||||||||||||
Interest income | $ | 200,094 | $ | 32,903 | $ | 232,997 | $ | 246,355 | $ | (13,358 | ) | |||||||||
Interest expense | (48,534 | ) | (27,862 | ) | (76,396 | ) | (88,528 | ) | 12,132 | |||||||||||
Net interest income | 151,560 | 5,041 | 156,601 | 157,827 | (1,226 | ) | ||||||||||||||
Reversal of provision for loan losses | — | — | — | 7,102 | (7,102 | ) | ||||||||||||||
Realized credit losses | (7,989 | ) | — | (7,989 | ) | — | (7,989 | ) | ||||||||||||
Mortgage banking activities, net | — | 26,459 | 26,459 | 38,691 | (12,232 | ) | ||||||||||||||
MSR income (loss), net | — | 86,638 | 86,638 | 14,353 | 72,285 | |||||||||||||||
Investment fair value changes, net | (2,277 | ) | (8,133 | ) | (10,410 | ) | (28,574 | ) | 18,164 | |||||||||||
Operating expenses | (45,373 | ) | (43,465 | ) | (88,838 | ) | (88,786 | ) | (52 | ) | ||||||||||
Other income | 1,386 | 1,374 | 2,760 | 6,338 | (3,578 | ) | ||||||||||||||
Realized gains, net | — | 284 | 284 | 28,009 | (27,725 | ) | ||||||||||||||
Benefit from (provision for) income taxes | (29 | ) | (126 | ) | (155 | ) | (3,708 | ) | 3,553 | |||||||||||
Net Income | $ | 97,278 | $ | 68,072 | $ | 165,350 | $ | 131,252 | $ | 34,098 | ||||||||||
Income per basic common share | $ | 1.27 | $ | 0.88 | $ | 2.15 | $ | 1.54 | $ | 0.61 |
Year Ended December 31, 2015 | ||||||||||||||||||||
(In Thousands, except per Share Data) | REIT | TRS | Total Tax | GAAP | Differences | |||||||||||||||
Interest income | $ | 187,146 | $ | 39,987 | $ | 227,133 | $ | 259,432 | $ | (32,299 | ) | |||||||||
Interest expense | (43,485 | ) | (36,345 | ) | (79,830 | ) | (95,883 | ) | 16,053 | |||||||||||
Net interest income | 143,661 | 3,642 | 147,303 | 163,549 | (16,246 | ) | ||||||||||||||
Reversal of provision for loan losses | — | — | — | 355 | (355 | ) | ||||||||||||||
Realized credit losses | (8,645 | ) | — | (8,645 | ) | — | (8,645 | ) | ||||||||||||
Mortgage banking activities, net | — | (24,637 | ) | (24,637 | ) | 10,972 | (35,609 | ) | ||||||||||||
MSR income (loss), net | — | 33,669 | 33,669 | (3,922 | ) | 37,591 | ||||||||||||||
Investment fair value changes, net | (390 | ) | (2,437 | ) | (2,827 | ) | (21,357 | ) | 18,530 | |||||||||||
Operating expenses | (49,304 | ) | (53,932 | ) | (103,236 | ) | (97,416 | ) | (5,820 | ) | ||||||||||
Other income | 403 | 1,771 | 2,174 | 3,192 | (1,018 | ) | ||||||||||||||
Realized gains, net | — | — | — | 36,369 | (36,369 | ) | ||||||||||||||
Benefit from (provision for) income taxes | (40 | ) | (110 | ) | (150 | ) | 10,346 | (10,496 | ) | |||||||||||
Net Income (Loss) | $ | 85,685 | $ | (42,034 | ) | $ | 43,651 | $ | 102,088 | $ | (58,437 | ) | ||||||||
Income (loss) per basic common share | $ | 1.05 | $ | (0.50 | ) | $ | 0.55 | $ | 1.18 | $ | (0.63 | ) |
Year Ended December 31, 2014 | ||||||||||||||||||||
(In Thousands, except per Share Data) | REIT | TRS | Total Tax | GAAP | Differences | |||||||||||||||
Interest income | $ | 164,136 | $ | 42,078 | $ | 206,214 | $ | 242,070 | $ | (35,856 | ) | |||||||||
Interest expense | (48,233 | ) | (18,975 | ) | (67,208 | ) | (87,463 | ) | 20,255 | |||||||||||
Net interest income | 115,903 | 23,103 | 139,006 | 154,607 | (15,601 | ) | ||||||||||||||
Reversal of provision for loan losses | — | — | — | (961 | ) | 961 | ||||||||||||||
Realized credit losses | (6,734 | ) | — | (6,734 | ) | — | (6,734 | ) | ||||||||||||
Mortgage banking activities, net | — | 3,498 | 3,498 | 34,994 | (31,496 | ) | ||||||||||||||
MSR income (loss), net | — | 15,763 | 15,763 | (4,261 | ) | 20,024 | ||||||||||||||
Investment fair value changes, net | — | — | — | (10,202 | ) | 10,202 | ||||||||||||||
Operating expenses | (45,122 | ) | (52,313 | ) | (97,435 | ) | (90,123 | ) | (7,312 | ) | ||||||||||
Other income (expense) | 12 | (8,231 | ) | (8,219 | ) | 1,781 | (10,000 | ) | ||||||||||||
Realized gains, net | — | — | — | 15,478 | (15,478 | ) | ||||||||||||||
Benefit from (provision for) income taxes | (70 | ) | (62 | ) | (132 | ) | (744 | ) | 612 | |||||||||||
Net Income (Loss) | $ | 63,989 | $ | (18,242 | ) | $ | 45,747 | $ | 100,569 | $ | (54,822 | ) | ||||||||
Income (loss) per share | $ | 0.77 | $ | (0.22 | ) | $ | 0.55 | $ | 1.15 | $ | (0.60 | ) |
Years Ended December 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Ratio of earnings to fixed charges | 3.04 | x | 2.40 | x | 2.65 | x | 3.90 | x | 2.20 | x |
• | Residential Loan Warehouse Facilities. As noted above, one source of our short-term debt financing is secured borrowings under residential loan warehouse facilities we have established and, as of December 31, 2016, were in place with four different financial institution counterparties. Financial covenants included in these warehouse facilities are as follows and at December 31, 2016, and through the date of this Annual Report on Form 10-K, we were in compliance with each of these financial covenants: |
• | Maintenance of a minimum dollar amount of stockholders’ equity/tangible net worth at Redwood. |
• | Maintenance of a minimum dollar amount of cash and cash equivalents at Redwood or maintenance of an amount of cash and cash equivalents in excess of a specified percentage of outstanding short-term recourse indebtedness. |
• | Maintenance of a minimum ratio of consolidated recourse indebtedness to stockholders’ equity and tangible net worth at Redwood. |
• | Maintenance of uncommitted residential loan warehouse facilities with a specified level of unused borrowing capacity. |
• | Securities Repurchase Facilities. As noted above, another source of our short-term debt financing is through secured borrowings under securities repurchase facilities we have established with various financial institution counterparties. Financial covenants included in these securities repurchase facilities are as follows and at December 31, 2016, and through the date of this Annual Report on Form 10-K, we were in compliance with each of these financial covenants: |
• | Maintenance of a minimum dollar amount of stockholders’ equity/tangible net worth at Redwood. |
• | Maintenance of a minimum dollar amount of cash and cash equivalents at Redwood. |
• | Maintenance of a minimum ratio of consolidated recourse indebtedness to consolidated adjusted tangible net worth at Redwood. |
• | Committed Line of Credit. As noted above, we also maintain a $10 million committed line of short-term credit from a bank, which is secured by our pledge of certain mortgage-backed securities we own. The types of financial covenants included in this bank line of credit are a subset of the covenants summarized above. |
• | FHLB Borrowing Facility. As noted above, a wholly-owned subsidiary of ours, RWT Financial, also maintains a borrowing facility with the FHLBC, borrowings under which are required to be secured by eligible collateral including, but not limited to, residential mortgage loans and residential mortgage-backed securities. Financial covenants included in this facility are as follows and at December 31, 2016, and through the date of this Annual Report on Form 10-K, we were in compliance with each of these financial covenants: |
• | Maintenance by RWT Financial of a minimum ratio of total liabilities (excluding debt subordinated to the FHLBC and non-recourse debt) to stockholders’ equity and debt subordinated to the FHLBC. |
• | Maintenance by RWT Financial of a minimum level of unencumbered assets based on the level of indebtedness to the FHLBC. |
• | Maintenance of a minimum ratio of total liabilities (excluding non-recourse debt) to stockholders’ equity at Redwood. |
• | Maintenance of a minimum dollar amount of cash and cash equivalents at Redwood. |
• | Residential Loan Warehouse Facilities. As noted above, one source of our short-term debt financing is secured borrowings under residential loan warehouse facilities we have established and, as of December 31, 2016, were in place with four different financial institution counterparties. These warehouse facilities include the margin call provisions described below and during the twelve months ended December 31, 2016, and through the date of this Annual Report on Form 10-K, we complied with any margin calls received from creditors under these warehouse facilities: |
• | If at any time the market value (as determined by the creditor) of any residential mortgage loan financed under a facility declines, then the creditor may demand that we transfer additional collateral to the creditor (in the form of cash, U.S. Treasury obligations (in certain cases), or additional residential mortgage loans) with a value equal to the amount of the decline. If we receive any such demand, (i) under two of our residential loan warehouse facilities, we would generally be required to transfer the additional collateral on the same day (although demands received after a certain time would only require the transfer of additional collateral on the following business day) and (ii) under two of our residential loan warehouse facilities, we would generally be required to transfer the additional collateral on the following business day. The value of additional residential mortgage loans transferred as additional collateral is determined by the creditor. |
• | Securities Repurchase Facilities. Another source of our short-term debt financing is through secured borrowings under securities repurchase facilities we have established with various financial institution counterparties. These repurchase facilities include the margin call provisions described below and during the twelve months ended December 31, 2016, and through the date of this Annual Report on Form 10-K, we complied with any margin calls received from creditors under these repurchase facilities: |
• | If at any time the market value (as determined by the creditor) of any securities financed under a facility declines, then the creditor may demand that we transfer additional collateral to the creditor (in the form of cash, U.S. Treasury obligations, or additional securities) with a value equal to the amount of the decline. If we receive any such demand, we would generally be required to transfer the additional collateral on the same day. The value of additional securities transferred as additional collateral is determined by the creditor. |
• | Committed Line of Credit. As noted above, we also maintain a $10 million committed line of short-term credit from a bank, which is secured by our pledge of certain mortgage-backed securities we own. Margin call provisions included in this bank line of credit are as follows and during the twelve months ended December 31, 2016, and through the date of this Annual Report on Form 10-K, we complied with any margin calls received from this creditor under this line of credit: |
• | If at any time the total market value (as determined by two broker-dealers) of the securities that are pledged as collateral under this facility declines to a value less than the outstanding amount of borrowings under this facility, then the creditor may demand that we transfer additional collateral to the creditor (in the form of cash, U.S. Treasury obligations, or additional securities) with a value equal to the amount of the difference. If we receive any such demand, we would generally be required to transfer the additional collateral within two business days. The value of additional collateral pledged is determined by the creditor. |
• | FHLB Borrowing Facility. As noted above, a wholly-owned subsidiary of ours, RWT Financial, also maintains a borrowing facility with the FHLBC, borrowings under which are required to be secured by eligible collateral including, but not limited to, residential mortgage loans and residential mortgage-backed securities. This facility includes the margin call provisions described below during the twelve months ended December 31, 2016, and through the date of this Annual Report on Form 10-K, we complied with any margin calls received from the creditor under this facility. |
• | If at any time the aggregate market value (as determined by the FHLBC) of the residential mortgage loans and residential mortgage-backed securities pledged as collateral under this facility declines to a value less than the required collateral level, or if any collateral ceases to be qualifying collateral under the terms of this facility, we would be required to promptly deliver additional collateral sufficient to maintain the required collateral level. The value of additional loans or securities transferred as additional collateral is determined by the FHLBC. |
December 31, 2016 | Payments Due or Commitment Expiration by Period | |||||||||||||||||||
(In Millions) | Less Than 1 Year | 1 to 3 Years | 3 to 5 Years | After 5 Years | Total | |||||||||||||||
Obligations of Redwood | ||||||||||||||||||||
Short-term debt | $ | 792 | $ | — | $ | — | $ | — | $ | 792 | ||||||||||
Convertible notes | — | 488 | — | — | 488 | |||||||||||||||
Anticipated interest payments on convertible notes | 25 | 29 | — | — | 54 | |||||||||||||||
FHLBC borrowings | — | — | — | 2,000 | 2,000 | |||||||||||||||
Anticipated interest payments on FHLBC borrowings | 25 | 79 | 98 | 197 | 399 | |||||||||||||||
Other long-term debt | — | — | — | 140 | 140 | |||||||||||||||
Anticipated interest payments on other long-term debt (1) | 9 | 19 | 19 | 143 | 190 | |||||||||||||||
Accrued interest payable | 9 | — | — | — | 9 | |||||||||||||||
Operating leases | 2 | 2 | 1 | — | 5 | |||||||||||||||
Total Redwood Obligations and Commitments | $ | 862 | $ | 617 | $ | 118 | $ | 2,480 | $ | 4,077 | ||||||||||
Obligations of Consolidated Entities for Financial Reporting Purposes | ||||||||||||||||||||
Consolidated ABS (2) | $ | — | $ | — | $ | — | $ | 881 | $ | 881 | ||||||||||
Anticipated interest payments on ABS (3) | 15 | 39 | 41 | 114 | 209 | |||||||||||||||
Accrued interest payable | 1 | — | — | — | 1 | |||||||||||||||
Total Obligations of Entities Consolidated for Financial Reporting Purposes | 16 | 39 | 41 | 995 | 1,091 | |||||||||||||||
Total Consolidated Obligations and Commitments | $ | 878 | $ | 656 | $ | 159 | $ | 3,475 | $ | 5,168 |
(1) | Includes anticipated interest payments related to hedges. |
(2) | All consolidated ABS issued are collateralized by real estate loans. Although the stated maturity is as shown, the ABS obligations will pay down as the principal balances of these real estate loans or securities pay down. The amount shown is the principal balance of the ABS issued and not necessarily the value reported in our consolidated financial statements. |
(3) | The anticipated interest payments on consolidated ABS issued is calculated based on the contractual maturity of the ABS and therefore assumes no prepayments of the principal outstanding at December 31, 2016. |
Quantitative Information on Market Risk | |||||||||||||||||||||||||
Principal Amounts Maturing and Effective Rates During Period | December 31, 2016 | ||||||||||||||||||||||||
(Dollars in Thousands) | 2017 | 2018 | 2019 | 2020 | 2021 | Thereafter | Principal Balance | Fair Value | |||||||||||||||||
Interest rate sensitive assets | |||||||||||||||||||||||||
Residential loans - HFI at Redwood | |||||||||||||||||||||||||
Fixed Rate | Principal | 212,441 | 192,144 | 173,786 | 157,182 | 142,165 | 1,345,822 | 2,223,540 | 2,250,662 | ||||||||||||||||
Interest Rate | 4.12 | % | 4.12 | % | 4.12 | % | 4.12 | % | 4.12 | % | 4.12 | % | |||||||||||||
Hybrid | Principal | 980 | 886 | 802 | 725 | 656 | 6,208 | 10,257 | 10,354 | ||||||||||||||||
Interest Rate | 3.73 | % | 3.73 | % | 3.73 | % | 5.16 | % | 5.36 | % | 5.55 | % | |||||||||||||
Residential loans - HFI at Sequoia | |||||||||||||||||||||||||
Adjustable Rate | Principal | 162,900 | 141,681 | 122,709 | 106,674 | 92,770 | 260,247 | 886,981 | 791,636 | ||||||||||||||||
Interest Rate | 2.62 | % | 3.10 | % | 3.51 | % | 3.75 | % | 3.91 | % | 3.47 | % | |||||||||||||
Residential loans - HFS | |||||||||||||||||||||||||
Adjustable Rate | Principal | 882 | — | — | — | — | — | 882 | 616 | ||||||||||||||||
Interest Rate | 2.40 | % | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||
Fixed Rate | Principal | 144,174 | — | — | — | — | — | 144,174 | 144,226 | ||||||||||||||||
Interest Rate | 3.97 | % | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||
Hybrid | Principal | 688,329 | — | — | — | — | — | 688,329 | 690,557 | ||||||||||||||||
Interest Rate | 3.35 | % | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||
Commercial Loans | |||||||||||||||||||||||||
Fixed Rate | Principal | 3,000 | — | — | — | — | — | 3,000 | 2,700 | ||||||||||||||||
Interest Rate | 11.00 | % | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||
Residential Senior Securities | |||||||||||||||||||||||||
Adjustable Rate | Principal | 3,978 | 3,384 | 2,868 | 2,439 | 2,075 | 9,544 | 24,289 | 22,866 | ||||||||||||||||
Interest Rate | 2.59 | % | 3.14 | % | 3.35 | % | 3.58 | % | 3.74 | % | 3.90 | % | |||||||||||||
Fixed Rate | Principal | 3,644 | 3,257 | 2,798 | 2,322 | 1,992 | 12,484 | 26,498 | 59,957 | ||||||||||||||||
Interest Rate | 5.30 | % | 2.39 | % | 5.48 | % | 5.52 | % | 5.55 | % | 5.36 | % | |||||||||||||
Hybrid | Principal | 15,279 | 13,162 | 11,327 | 9,742 | 8,491 | 40,074 | 98,075 | 90,790 | ||||||||||||||||
Interest Rate | 3.48 | % | 4.13 | % | 4.00 | % | 4.11 | % | 4.18 | % | 4.15 | % | |||||||||||||
Residential Re-REMIC Securities | |||||||||||||||||||||||||
Fixed Rate | Principal | 1,999 | 2,021 | 3,074 | 3,867 | 27,465 | 3,905 | 42,331 | 35,854 | ||||||||||||||||
Interest Rate | 5.74 | % | 5.74 | % | 5.76 | % | 5.77 | % | 5.78 | % | 5.62 | % | |||||||||||||
Hybrid | Principal | 2,802 | 5,193 | 5,239 | 4,728 | 29,627 | 5,689 | 53,277 | 49,625 | ||||||||||||||||
Interest Rate | 3.33 | % | 3.87 | % | 4.33 | % | 4.78 | % | 4.95 | % | 5.39 | % | |||||||||||||
Residential Subordinate Securities | |||||||||||||||||||||||||
Adjustable Rate | Principal | 1,164 | 1,444 | 1,495 | 1,595 | 10,656 | 1,640 | 17,994 | 16,485 | ||||||||||||||||
Interest Rate | 3.64 | % | 4.11 | % | 3.86 | % | 3.93 | % | 3.98 | % | 3.86 | % | |||||||||||||
Fixed Rate | Principal | 23,145 | 28,382 | 36,233 | 41,277 | 483,650 | 49,707 | 662,393 | 581,476 | ||||||||||||||||
Interest Rate | 4.53 | % | 5.32 | % | 4.80 | % | 4.78 | % | 4.82 | % | 4.86 | % | |||||||||||||
Hybrid | Principal | 5,002 | 5,222 | 4,793 | 5,393 | 63,460 | 5,221 | 89,091 | 69,616 | ||||||||||||||||
Interest Rate | 2.51 | % | 3.67 | % | 3.13 | % | 3.36 | % | 3.65 | % | 3.94 | % |
Quantitative Information on Market Risk | |||||||||||||||||||||||||||||||||
Principal Amounts Maturing and Effective Rates During Period | December 31, 2016 | ||||||||||||||||||||||||||||||||
(Dollars in Thousands) | 2017 | 2018 | 2019 | 2020 | 2021 | Thereafter | Principal Balance | Fair Value | |||||||||||||||||||||||||
Interest rate sensitive assets (continued) | |||||||||||||||||||||||||||||||||
Commercial Securities | |||||||||||||||||||||||||||||||||
Adjustable Rate | Principal | $ | 1,817 | $ | 2,518 | $ | 2,490 | $ | 2,309 | $ | 2,190 | $ | 17,492 | $ | 28,816 | $ | 28,957 | ||||||||||||||||
Interest Rate | 6.34 | % | 6.83 | % | 7.21 | % | 7.42 | % | 7.63 | % | 7.84 | % | |||||||||||||||||||||
Fixed Rate | Principal | — | — | — | — | — | 80,315 | 80,315 | 62,813 | ||||||||||||||||||||||||
Interest Rate | 3.83 | % | 3.83 | % | 3.83 | % | 3.83 | % | 3.83 | % | 3.83 | % | |||||||||||||||||||||
Interest rate sensitive liabilities | |||||||||||||||||||||||||||||||||
Asset-backed securities issued | |||||||||||||||||||||||||||||||||
Sequoia Entities | |||||||||||||||||||||||||||||||||
Adjustable Rate | Principal | 54,413 | 54,017 | 54,058 | 54,892 | 56,010 | 589,434 | 862,825 | 757,067 | ||||||||||||||||||||||||
Interest Rate | 1.46 | % | 1.89 | % | 2.25 | % | 2.46 | % | 2.60 | % | 2.63 | % | |||||||||||||||||||||
Hybrid | Principal | 766 | 754 | 760 | 766 | 794 | 13,852 | 17,692 | 16,394 | ||||||||||||||||||||||||
Interest Rate | 3.30 | % | 3.92 | % | 4.39 | % | 4.92 | % | 5.16 | % | 5.14 | % | |||||||||||||||||||||
Short-term Debt | Principal | 791,539 | — | — | — | — | — | 791,539 | 791,539 | ||||||||||||||||||||||||
Interest Rate | 2.21 | % | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||
Long-term Debt | |||||||||||||||||||||||||||||||||
FHLBC Borrowings | Principal | — | — | — | — | — | 1,999,999 | 1,999,999 | 1,999,999 | ||||||||||||||||||||||||
Interest Rate | 1.25 | % | 1.79 | % | 2.17 | % | 2.37 | % | 2.51 | % | 2.74 | % | |||||||||||||||||||||
Convertible Notes | Principal | — | 287,500 | 200,765 | — | — | — | 488,265 | 493,365 | ||||||||||||||||||||||||
Interest Rate | 5.04 | % | 5.04 | % | 5.63 | % | — | % | — | % | — | % | |||||||||||||||||||||
Other long-term debt | Principal | — | — | — | — | — | 139,500 | 139,500 | 96,255 | ||||||||||||||||||||||||
Interest Rate | 6.75 | % | 6.75 | % | 6.75 | % | 6.75 | % | 6.75 | % | 6.75 | % | |||||||||||||||||||||
Interest rate agreements | |||||||||||||||||||||||||||||||||
Interest Rate Swaps | |||||||||||||||||||||||||||||||||
(Purchased) | Notional Amount | — | 90,000 | 513,000 | 95,000 | 342,000 | 805,000 | 1,845,000 | (27,572 | ) | |||||||||||||||||||||||
Receive Strike Rate | 1.30 | % | 1.83 | % | 2.19 | % | 2.39 | % | 2.52 | % | 2.84 | % | |||||||||||||||||||||
Pay Strike Rate | 1.96 | % | 1.96 | % | 1.96 | % | 1.96 | % | 1.96 | % | 1.96 | % | |||||||||||||||||||||
(Sold) | Notional Amount | — | — | — | 60,000 | 20,000 | 325,000 | 405,000 | (9,488 | ) | |||||||||||||||||||||||
Receive Strike Rate | 1.78 | % | 1.78 | % | 1.78 | % | 1.78 | % | 1.78 | % | 1.78 | % | |||||||||||||||||||||
Pay Strike Rate | 1.30 | % | 1.83 | % | 2.19 | % | 2.39 | % | 2.52 | % | 2.84 | % |
• | Martin S. Hughes, Chief Executive Officer |
• | Christopher J. Abate, President and Chief Financial Officer |
• | Shoshone (Bo) Stern, Chief Investment Officer |
• | Andrew P. Stone, Executive Vice President, General Counsel, and Secretary |
• | Brett D. Nicholas, former President |
• | Fred J. Matera, former Executive Vice President, Commercial Investments and Finance |
2016 Base Salary (per annum) | 2016 Target Annual Bonus (as % of Base Salary) | Total 2016 Target Annual Bonus ($) | Long-Term Equity Based Awards | |||||||||||||||
DSUs (Aggregate Grant Date Fair Value) (1) | PSUs (Aggregate Grant Date Fair Value) (1) | |||||||||||||||||
Mr. Hughes, Chief Executive Officer | $ | 750,000 | 175% | $ | 1,312,500 | $ | 1,250,000 | $ | 1,250,000 |
(1) | Grant date fair value of deferred stock units (DSUs) and performance stock units (PSUs) was determined at the time the grant was made (December 14, 2016) in accordance with FASB Accounting Standards Codification Topic 718. |
NEO (1) | Company Performance Component of 2016 Target Annual Bonus ($) | % of Company Performance Component Earned | 2016 Company Performance Component of Annual Bonus Earned ($) | |||||||
Current Executive Officers | ||||||||||
Mr. Hughes, Chief Executive Officer | $ | 984,375 | 232% | $ | 2,282,352 | |||||
Mr. Abate, President and Chief Financial Officer | $ | 576,563 | 232% | $ | 1,336,806 | |||||
Mr. Stern, Chief Investment Officer | $ | 304,688 | 232% | $ | 706,442 | |||||
Mr. Stone, Executive Vice President and General Counsel | $ | 309,375 | 232% | $ | 717,311 |
(1) | Mr. Nicholas departed from employment with Redwood as President on July 1, 2016 and Mr. Matera departed from employment with Redwood as Executive Vice President, Commercial Investments and Finance on May 1, 2016. As a result, neither Mr. Nicholas nor Mr. Matera received a 2016 annual bonus. |
NEO (1) | Individual Performance Component of 2016 Target Annual Bonus ($) | % of Individual Performance Component Earned | 2016 Individual Performance Component of Annual Bonus Earned ($) | |||||||
Current Executive Officers | ||||||||||
Mr. Hughes, Chief Executive Officer | $ | 328,125 | 100% | $ | 328,125 | |||||
Mr. Abate, President and Chief Financial Officer | $ | 192,188 | 100% | $ | 192,188 | |||||
Mr. Stern, Chief Investment Officer | $ | 101,563 | 100% | $ | 101,563 | |||||
Mr. Stone, Executive Vice President and General Counsel | $ | 103,125 | 100% | $ | 103,125 |
(1) | Mr. Nicholas departed from employment with Redwood as President on July 1, 2016 and Mr. Matera departed from employment with Redwood as Executive Vice President, Commercial Investments and Finance on May 1, 2016. As a result, neither Mr. Nicholas nor Mr. Matera received a 2016 annual bonus. |
Exhibit Number | Exhibit | |
3.1 | Articles of Amendment and Restatement of the Registrant, effective July 6, 1994 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1, filed on August 6, 2008) | |
3.1.1 | Articles Supplementary of the Registrant, effective August 10, 1994 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.1, filed on August 6, 2008) | |
3.1.2 | Articles Supplementary of the Registrant, effective August 11, 1995 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.2, filed on August 6, 2008) | |
3.1.3 | Articles Supplementary of the Registrant, effective August 9, 1996 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.3, filed on August 6, 2008) | |
3.1.4 | Certificate of Amendment of the Registrant, effective June 30, 1998 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.4, filed on August 6, 2008) | |
3.1.5 | Articles Supplementary of the Registrant, effective April 7, 2003 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.5, filed on August 6, 2008) | |
3.1.6 | Articles of Amendment of the Registrant, effective June 12, 2008 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.6, filed on August 6, 2008) | |
3.1.7 | Articles of Amendment of the Registrant, effective May 19, 2009 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2009) | |
3.1.8 | Articles of Amendment of the Registrant, effective May 24, 2011 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 20, 2011) | |
3.1.9 | Articles of Amendment of the Registrant, effective May 18, 2012 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2012) | |
3.1.10 | Articles of Amendment of the Registrant, effective May 16, 2013 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2013) | |
3.2.1 | Amended and Restated Bylaws of the Registrant, as adopted on March 5, 2008 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on March 11, 2008) | |
3.2.2 | First Amendment to Amended and Restated Bylaws of the Registrant, as adopted on May 17, 2012 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.2, filed on May 21, 2012) | |
4.1 | Form of Common Stock Certificate (incorporated by reference to the Registrant’s Registration Statement on Form S-11 (No. 333-08363), Exhibit 4.3, filed on August 6, 1996) | |
4.2 | Indenture dated as of October 1, 2001 between Sequoia Mortgage Trust 5 and Bankers Trust Company of California, N.A., as Trustee (incorporated by reference to Sequoia Mortgage Funding Corporation’s Current Report on Form 8-K, Exhibit 99.1, filed on November 15, 2001) | |
Exhibit Number | Exhibit | |
4.3 | Indenture dated as April 1, 2002 between Sequoia Mortgage Trust 6 and Deutsche Bank National Trust Company, as Trustee (incorporated by reference to Sequoia Mortgage Funding Corporation’s Current Report on Form 8-K, Exhibit 99.1, filed on May 13, 2002) | |
4.4 | Junior Subordinated Indenture dated as of December 12, 2006 between the Registrant and The Bank of New York Trust Company, National Association, as Trustee (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 1.4, filed on December 12, 2006) | |
4.5 | Amended and Restated Trust Agreement dated December 12, 2006 among the Registrant, The Bank of New York Trust Company, National Association, The Bank of New York (Delaware), the Administrative Trustees (as named therein) and the several holders of the Preferred Securities from time to time (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 1.3, filed on December 12, 2006) | |
4.6 | Purchase Agreement dated December 12, 2006 among the Registrant, Redwood Capital Trust I and Merrill Lynch International (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 1.1, filed on December 12, 2006) | |
4.7 | Purchase Agreement dated December 12, 2006 among the Registrant, Redwood Capital Trust I and Bear, Stearns & Co. Inc. (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 1.2, filed on December 12, 2006) | |
4.8 | Subordinated Indenture dated as of May 23, 2007 between the Registrant and Wilmington Trust Company (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 1.2, filed on May 23, 2007) | |
4.9 | Purchase Agreement dated May 23, 2007 between the Registrant and Obsidian CDO Warehouse, LLC (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 1.1, filed on May 23, 2007) | |
4.10 | Indenture, dated as of November 28, 2012, among RCMC 2012-CREL1, LLC, as Issuer, KeyCorp Real Estate Capital Markets, Inc., as Advancing Agent, and Wells Fargo Bank, National Association, as Trustee, Paying Agent, Transfer Agent, Custodian, Backup Advancing Agent and Notes Registrar (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on December 4, 2012) | |
4.11 | Indenture, dated March 6, 2013, between Redwood Trust, Inc. and Wilmington Trust, National Association, as Trustee (incorporated by reference to the Registrant’s Current Report on Form 8-K/A, Exhibit 4.1, filed on March 6, 2013) | |
4.12 | First Supplemental Indenture, dated March 6, 2013, between Redwood Trust, Inc. and Wilmington Trust, National Association, as Trustee (including the form of 4.625% Convertible Senior Note due 2018) (incorporated by reference to the Registrant’s Current Report on Form 8-K/A, Exhibit 4.2, filed on March 6, 2013) | |
4.13 | Indenture, by and among Redwood Trust, Inc., RWT Holdings, Inc. and Wilmington Trust, National Association, as Trustee, dated as of November 24, 2014 (including the form of 5.625% Exchangeable Senior Note due 2019) (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 4.1, filed on November 25, 2014) | |
9.1 | Waiver Agreement dated as of November 15, 2007 between the Registrant and Davis Selected Advisors, L.P. (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 9.1, filed on March 5, 2008) | |
9.2 | Amendment of Waiver Agreement dated as of January 16, 2008 between Registrant and Davis Selected Advisors, L.P. (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 9.2, filed on March 5, 2008) | |
10.1* | 2014 Incentive Award Plan (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on May 23, 2014) | |
10.2* | Form of Redwood Trust, Inc. Deferred Stock Unit Award Agreement under 2014 Incentive Award Plan (2014) (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.2, filed on August 8, 2014) | |
10.3* | Form of Redwood Trust, Inc. Performance Stock Unit Award Agreement under 2014 Incentive Award Plan (2014) (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on December 19, 2016) | |
10.4* | Form of Redwood Trust, Inc. Restricted Stock Award Agreement under 2014 Incentive Award Plan (2014) (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.4, filed on August 8, 2014) | |
10.5* | Amended and Restated 1994 Executive and Non-Employee Director Stock Option Plan, as last amended January 24, 2002 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.14.5, filed on May 15, 2002) |
Exhibit Number | Exhibit | |
10.6* | 2002 Incentive Plan, as amended through May 16, 2013 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on May 21, 2013) | |
10.7* | Form of Employee Incentive Stock Option Grant Agreement under 2002 Incentive Plan (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.8.1, filed on March 16, 2005) | |
10.8* | Form of Employee Non-Qualified Stock Option Grant Agreement under 2002 Incentive Plan (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.8.2, filed on filed on March 16, 2005) | |
10.9* | Form of Amendment to Employee Non-Qualified Stock Option Grant Agreement under 2002 Incentive Plan (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.2, filed on November 17, 2005) | |
10.10* | Form of Restricted Stock Award Agreement under 2002 Incentive Plan – Pre-December 2011 (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.8.3, filed on March 16, 2005) | |
10.11* | Form of Deferred Stock Unit Award Agreement under 2002 Incentive Plan – Pre-December 2011 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on December 2, 2010) | |
10.12* | Form of Performance Stock Unit Award Agreement under 2002 Incentive Plan – Pre-December 2011 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.2, filed on December 2, 2010) | |
10.13* | Form of Restricted Stock Award Agreement under 2002 Incentive Plan (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.3, filed on December 8, 2011) | |
10.14* | Form of Deferred Stock Unit Award Agreement under 2002 Incentive Plan (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on December 8, 2011) | |
10.15* | Form of Performance Stock Unit Award Agreement under 2002 Incentive Plan – December 2011 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.2, filed on December 8, 2011) | |
10.16* | Form of Performance Stock Unit Award Agreement under 2002 Incentive Plan – December 2012 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on December 11, 2012) | |
10.17* | 2002 Employee Stock Purchase Plan, as amended through May 16, 2013 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.2, filed on May 21, 2013) | |
10.18* | Executive Deferred Compensation Plan, as amended and restated on December 10, 2008 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on January 14, 2009) | |
10.19* | First Amendment to Amended and Restated Executive Deferred Compensation Plan, effective as of November 23, 2013 (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.15, filed on February 26, 2014) | |
10.20* | Direct Stock Purchase and Dividend Reinvestment Plan (incorporated by reference to the Plan text included in the Registrant’s Prospectus Supplement filed on September 5, 2012) | |
10.21* | Summary of the Registrant’s Compensation Arrangements for Non-Employee Directors (incorporated by reference to the “Director Compensation” section of the Registrant’s Definitive Proxy Statement filed on March 20, 2015) | |
10.22* | Revised Form of Indemnification Agreement for Directors and Executive Officers (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 99.3, filed on November 16, 2009) | |
10.23 | Office Building Lease, dated February 27, 2003 (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.30.2, filed on March 12, 2004) | |
10.24 | Office Building Lease (second floor), dated July 31, 2006 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.1, filed November 2, 2006) | |
10.25 | Second Amendment to Lease, dated July 31, 2006 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.3, filed November 2, 2006) | |
10.26 | Office Building Lease, effective as of and dated as of June 1, 2012 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.1, filed November 3, 2011) | |
Exhibit Number | Exhibit | |
10.27 | Lease Agreement, dated as of January 11, 2013, between MG-Point, LLC, as Landlord, and the Registrant, as Tenant (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.22, filed on February 26, 2013) | |
10.28 | First Amendment to Lease, effective as of June 27, 2013, between MG-Point, LLC, as Landlord, and the Registrant, as Tenant (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.4, filed August 8, 2013) | |
10.29 | Second Amendment to Lease, effective as of June 23, 2014, between MG-Point, LLC, as Landlord, and the Registrant, as Tenant (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.7, filed August 8, 2014) | |
10.31* | Amended and Restated Employment Agreement, dated as of February 22, 2017, by and between Martin S. Hughes and the Registrant (filed herewith) | |
10.32* | Amended and Restated Employment Agreement, dated as of March 31, 2009, by and between Brett D. Nicholas and the Registrant (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.3, filed on May 5, 2009) | |
10.35* | First Amendment to Amended and Restated Employment Agreement, by and between Brett D. Nicholas and the Registrant, dated as of March 17, 2010 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.2, filed on March 18, 2010) | |
10.37* | Second Amendment to Amended and Restated Employment Agreement, by and between Brett D. Nicholas and the Registrant, dated as of February 24, 2011 (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.24, filed on February 24, 2011) | |
10.40* | Third Amendment to Amended and Restated Employment Agreement, by and between Brett D. Nicholas and the Registrant, dated as of May 17, 2012 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.4, filed on May 21, 2012) | |
10.43* | Fourth Amendment to Amended and Restated Employment Agreement, by and between Brett D. Nicholas and the Registrant, dated as of December 14, 2012 (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.36, filed on February 26, 2013) | |
10.46* | Fifth Amendment to Amended and Restated Employment Agreement, by and between Brett D. Nicholas and the Registrant, dated as of August 6, 2014 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.6, filed on August 8, 2014) | |
10.48* | Sixth Amendment to Amended and Restated Employment Agreement, by and between Brett D. Nicholas and the Registrant, dated as of August 5, 2015 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.1, filed on November 6, 2015) | |
10.49* | Amended and Restated Employment Agreement, by and between Christopher J. Abate and the Registrant, dated as of February 22, 2017 (filed herewith) | |
10.50* | Employment Agreement, by and between Fred J. Matera and the Registrant, dated as of January 1, 2016 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.2, filed on January 4, 2016) | |
10.51* | Amended and Restated Employment Agreement, by and between Andrew P. Stone and the Registrant, dated as of February 22, 2017 (filed herewith) | |
10.55 | Advances, Collateral Pledge, and Security Agreement between the Federal Home Loan Bank of Chicago and RWT Financial, LLC, dated as of July 16, 2014 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.8, filed on August 8, 2014) | |
10.56 | Financial Covenant Supplement to Advances, Collateral Pledge, and Security Agreement between the Federal Home Loan Bank of Chicago and RWT Financial, LLC, dated as of July 16, 2014 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.9, filed on August 8, 2014) | |
10.57 | Guaranty, dated July 16, 2014, given by Redwood Trust, Inc. in favor of the Federal Home Loan Bank of Chicago (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.10, filed on August 8, 2014) | |
Exhibit Number | Exhibit | |
10.58 | Second Supplement to Advances, Collateral Pledge and Security Agreement between the Federal Home Loan Bank of Chicago and RWT Financial, LLC, dated as of February 19, 2015 (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.53, filed on February 25, 2015) | |
12 | Computation of Ratio of Earnings to Fixed Charges (filed herewith) | |
21 | List of Subsidiaries (filed herewith) | |
23 | Consent of Grant Thornton LLP (filed herewith) | |
31.1 | Certification of the Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 (filed herewith) | |
31.2 | Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 (filed herewith) | |
32.1 | Certification of the Chief Executive Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (filed herewith) | |
32.2 | Certification of the Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (filed herewith) | |
101 | Pursuant to Rule 405 of Regulation S-T, the following financial information from the Registrant’s Annual Report on Form 10-K for the period ended December 31, 2016, is filed in XBRL-formatted interactive data files: (i) Consolidated Balance Sheets at December 31, 2016 and 2015; (ii) Consolidated Statements of Income for the years ended December 31, 2016, 2015, and 2014; (iii) Statements of Consolidated Comprehensive (Loss) Income for the years ended December 31, 2016, 2015, and 2014; (iv) Consolidated Statements of Changes in Equity for the years ended December 31, 2016, 2015, and 2014; (v) Consolidated Statements of Cash Flows for the years ended December 31, 2016, 2015, and 2014; and (vi) Notes to Consolidated Financial Statements. |
REDWOOD TRUST, INC. | ||
Date: February 24, 2017 | By: | /s/ MARTIN S. HUGHES |
Martin S. Hughes Chief Executive Officer |
Signature | Title | Date | ||
/s/ MARTIN S. HUGHES | Director and Chief Executive Officer | February 24, 2017 | ||
Martin S. Hughes | (Principal Executive Officer) | |||
/s/ CHRISTOPHER J. ABATE | President and Chief Financial Officer | February 24, 2017 | ||
Christopher J. Abate | (Principal Financial Officer) | |||
/s/ COLLIN L. COCHRANE | Controller and Managing Director | February 24, 2017 | ||
Collin L. Cochrane | (Principal Accounting Officer) | |||
/s/ RICHARD D. BAUM | Director, Chairman of the Board | February 24, 2017 | ||
Richard D. Baum | ||||
/s/ DOUGLAS B. HANSEN | Director, Vice-Chairman of the Board | February 24, 2017 | ||
Douglas B. Hansen | ||||
/s/ MARIANN BYERWALTER | Director | February 24, 2017 | ||
Mariann Byerwalter | ||||
/s/ DEBORA D. HORVATH | Director | February 24, 2017 | ||
Debora D. Horvath | ||||
/s/ GREG H. KUBICEK | Director | February 24, 2017 | ||
Greg H. Kubicek | ||||
/s/ KAREN R. PALLOTTA | Director | February 24, 2017 | ||
Karen R. Pallotta | ||||
/s/ JEFFREY T. PERO | Director | February 24, 2017 | ||
Jeffrey T. Pero | ||||
/s/ GEORGANNE C. PROCTOR | Director | February 24, 2017 | ||
Georganne C. Proctor | ||||
Page | ||
/s/ GRANT THORNTON LLP |
Irvine, CA February 24, 2017 |
/s/ GRANT THORNTON LLP |
Irvine, CA February 24, 2017 |
(In Thousands, except Share Data) | December 31, 2016 | December 31, 2015 | ||||||
ASSETS (1) | ||||||||
Residential loans, held-for-sale, at fair value | $ | 835,399 | $ | 1,115,738 | ||||
Residential loans, held-for-investment, at fair value | 3,052,652 | 2,813,065 | ||||||
Commercial loans, held-for-sale, (includes $0 and $39,141 at fair value) | 2,700 | 39,141 | ||||||
Commercial loans, held-for-investment (includes $0 and $67,657 at fair value) | — | 363,506 | ||||||
Real estate securities, at fair value | 1,018,439 | 1,233,256 | ||||||
Mortgage servicing rights, at fair value | 118,526 | 191,976 | ||||||
Cash and cash equivalents | 212,844 | 220,229 | ||||||
Total earning assets | 5,240,560 | 5,976,911 | ||||||
Restricted cash | 8,623 | 5,567 | ||||||
Accrued interest receivable | 18,454 | 23,290 | ||||||
Derivative assets | 36,595 | 16,393 | ||||||
Other assets | 179,245 | 197,886 | ||||||
Total Assets | $ | 5,483,477 | $ | 6,220,047 | ||||
LIABILITIES AND EQUITY (1) | ||||||||
Liabilities | ||||||||
Short-term debt | $ | 791,539 | $ | 1,855,003 | ||||
Accrued interest payable | 9,608 | 8,936 | ||||||
Derivative liabilities | 66,329 | 62,794 | ||||||
Accrued expenses and other liabilities | 72,428 | 69,897 | ||||||
Asset-backed securities issued (includes $773,462 and $996,820 at fair value), net (2) | 773,462 | 1,049,415 | ||||||
Long-term debt (includes $0 and $63,152 at fair value), net (2) | 2,620,683 | 2,027,737 | ||||||
Total liabilities | 4,334,049 | 5,073,782 | ||||||
Equity | ||||||||
Common stock, par value $0.01 per share, 180,000,000 shares authorized; 76,834,663 and 78,162,765 issued and outstanding | 768 | 782 | ||||||
Additional paid-in capital | 1,676,486 | 1,695,956 | ||||||
Accumulated other comprehensive income | 71,853 | 91,993 | ||||||
Cumulative earnings | 1,149,935 | 1,018,683 | ||||||
Cumulative distributions to stockholders | (1,749,614 | ) | (1,661,149 | ) | ||||
Total equity | 1,149,428 | 1,146,265 | ||||||
Total Liabilities and Equity | $ | 5,483,477 | $ | 6,220,047 |
(1) | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
(2) | At December 31, 2016 and December 31, 2015, Asset-backed securities issued, net included $0 and $542, respectively, of deferred debt issuance costs, and long-term debt, net included $7,081 and $10,438, respectively, of deferred debt issuance costs. |
Years Ended December 31, | ||||||||||||
(In Thousands, except Share Data) | 2016 | 2015 | 2014 | |||||||||
Interest Income | ||||||||||||
Residential loans | $ | 137,804 | $ | 114,715 | $ | 68,949 | ||||||
Commercial loans | 30,496 | 46,933 | 47,567 | |||||||||
Real estate securities | 76,873 | 97,448 | 125,482 | |||||||||
Other interest income | 1,182 | 336 | 72 | |||||||||
Total interest income | 246,355 | 259,432 | 242,070 | |||||||||
Interest Expense | ||||||||||||
Short-term debt | (22,287 | ) | (30,572 | ) | (25,990 | ) | ||||||
Asset-backed securities issued | (14,735 | ) | (21,469 | ) | (31,227 | ) | ||||||
Long-term debt | (51,506 | ) | (43,842 | ) | (30,246 | ) | ||||||
Total interest expense | (88,528 | ) | (95,883 | ) | (87,463 | ) | ||||||
Net Interest Income | 157,827 | 163,549 | 154,607 | |||||||||
Reversal of (provision for) loan losses | 7,102 | 355 | (961 | ) | ||||||||
Net Interest Income after Provision | 164,929 | 163,904 | 153,646 | |||||||||
Non-interest Income | ||||||||||||
Mortgage banking activities, net | 38,691 | 10,972 | 34,994 | |||||||||
Mortgage servicing rights income (loss), net | 14,353 | (3,922 | ) | (4,261 | ) | |||||||
Investment fair value changes, net | (28,574 | ) | (21,357 | ) | (10,202 | ) | ||||||
Other income | 6,338 | 3,192 | 1,781 | |||||||||
Realized gains, net | 28,009 | 36,369 | 15,478 | |||||||||
Total non-interest income, net | 58,817 | 25,254 | 37,790 | |||||||||
Operating expenses | (88,786 | ) | (97,416 | ) | (90,123 | ) | ||||||
Net Income before Provision for Income Taxes | 134,960 | 91,742 | 101,313 | |||||||||
(Provision for) benefit from income taxes | (3,708 | ) | 10,346 | (744 | ) | |||||||
Net Income | $ | 131,252 | $ | 102,088 | $ | 100,569 | ||||||
Basic earnings per common share | $ | 1.66 | $ | 1.20 | $ | 1.18 | ||||||
Diluted earnings per common share | $ | 1.54 | $ | 1.18 | $ | 1.15 | ||||||
Regular dividends declared per common share | $ | 1.12 | $ | 1.12 | $ | 1.12 | ||||||
Basic weighted average shares outstanding | 76,747,047 | 82,945,103 | 82,837,369 | |||||||||
Diluted weighted average shares outstanding | 97,909,090 | 84,518,395 | 85,098,579 |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Net Income | $ | 131,252 | $ | 102,088 | $ | 100,569 | ||||||
Other comprehensive (loss) income: | ||||||||||||
Net unrealized (loss) gain on available-for-sale securities (1) | (2,316 | ) | (17,955 | ) | 32,635 | |||||||
Reclassification of unrealized gain on available-for-sale securities to net income | (21,167 | ) | (29,426 | ) | (10,552 | ) | ||||||
Net unrealized gain (loss) on interest rate agreements | 3,271 | (1,409 | ) | (30,325 | ) | |||||||
Reclassification of unrealized loss on interest rate agreements to net income | 72 | 95 | 164 | |||||||||
Total other comprehensive (loss) income | (20,140 | ) | (48,695 | ) | (8,078 | ) | ||||||
Total Comprehensive Income | $ | 111,112 | $ | 53,393 | $ | 92,491 |
(1) | Amounts are presented net of tax benefit (provision) of $1 million, $(0.4) million, and $(2) million for the years ended December 31, 2016, 2015, and 2014, respectively. |
(In Thousands, except Share Data) | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||
Shares | Amount | ||||||||||||||||||||||||||
December 31, 2015 | 78,162,765 | $ | 782 | $ | 1,695,956 | $ | 91,993 | $ | 1,018,683 | $ | (1,661,149 | ) | $ | 1,146,265 | |||||||||||||
Net income | — | — | — | — | 131,252 | — | 131,252 | ||||||||||||||||||||
Other comprehensive loss | — | — | — | (20,140 | ) | — | — | (20,140 | ) | ||||||||||||||||||
Employee stock purchase and incentive plans | 614,952 | 5 | (7,030 | ) | — | — | — | (7,025 | ) | ||||||||||||||||||
Non-cash equity award compensation | — | — | 12,648 | — | — | — | 12,648 | ||||||||||||||||||||
Share repurchases | (1,943,054 | ) | (19 | ) | (25,088 | ) | — | — | — | (25,107 | ) | ||||||||||||||||
Common dividends declared | — | — | — | — | — | (88,465 | ) | (88,465 | ) | ||||||||||||||||||
December 31, 2016 | 76,834,663 | $ | 768 | $ | 1,676,486 | $ | 71,853 | $ | 1,149,935 | $ | (1,749,614 | ) | $ | 1,149,428 |
(In Thousands, except Share Data) | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||
Shares | Amount | ||||||||||||||||||||||||||
December 31, 2014 | 83,443,141 | $ | 834 | $ | 1,774,030 | $ | 140,688 | $ | 906,867 | $ | (1,566,278 | ) | $ | 1,256,141 | |||||||||||||
Cumulative effect adjustment - adoption of ASU 2014-13 (1) | — | — | — | — | 9,728 | — | 9,728 | ||||||||||||||||||||
January 1, 2015 | 83,443,141 | 834 | 1,774,030 | 140,688 | 916,595 | (1,566,278 | ) | 1,265,869 | |||||||||||||||||||
Net income | — | — | — | — | 102,088 | — | 102,088 | ||||||||||||||||||||
Other comprehensive loss | — | — | — | (48,695 | ) | — | — | (48,695 | ) | ||||||||||||||||||
Dividend reinvestment & stock purchase plans | 418,508 | 4 | 6,830 | — | — | — | 6,834 | ||||||||||||||||||||
Employee stock purchase and incentive plans | 753,429 | 7 | (7,988 | ) | — | — | — | (7,981 | ) | ||||||||||||||||||
Non-cash equity award compensation | — | — | 11,806 | — | — | — | 11,806 | ||||||||||||||||||||
Share repurchases | (6,452,313 | ) | (63 | ) | (88,722 | ) | — | — | — | (88,785 | ) | ||||||||||||||||
Common dividends declared | — | — | — | — | — | (94,871 | ) | (94,871 | ) | ||||||||||||||||||
December 31, 2015 | 78,162,765 | $ | 782 | $ | 1,695,956 | $ | 91,993 | $ | 1,018,683 | $ | (1,661,149 | ) | $ | 1,146,265 |
(In Thousands, except Share Data) | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||
Shares | Amount | ||||||||||||||||||||||||||
December 31, 2013 | 82,504,801 | $ | 825 | $ | 1,760,899 | $ | 148,766 | $ | 806,298 | $ | (1,471,005 | ) | $ | 1,245,783 | |||||||||||||
Net income | — | — | — | — | 100,569 | — | 100,569 | ||||||||||||||||||||
Other comprehensive income | — | — | — | (8,078 | ) | — | — | (8,078 | ) | ||||||||||||||||||
Dividend reinvestment & stock purchase plans | 488,174 | 5 | 9,012 | — | — | — | 9,017 | ||||||||||||||||||||
Employee stock purchase and incentive plans | 450,166 | 4 | (7,152 | ) | — | — | — | (7,148 | ) | ||||||||||||||||||
Non-cash equity award compensation | — | — | 11,271 | — | — | — | 11,271 | ||||||||||||||||||||
Common dividends declared | — | — | — | — | — | (95,273 | ) | (95,273 | ) | ||||||||||||||||||
December 31, 2014 | 83,443,141 | $ | 834 | $ | 1,774,030 | $ | 140,688 | $ | 906,867 | $ | (1,566,278 | ) | $ | 1,256,141 |
(1) | On January 1, 2015, we adopted ASU 2014-13. See Note 3 for further discussion. |
(In Thousands) | Years Ended December 31, | |||||||||||
2016 | 2015 | 2014 | ||||||||||
Cash Flows From Operating Activities: | ||||||||||||
Net income | $ | 131,252 | $ | 102,088 | $ | 100,569 | ||||||
Adjustments to reconcile net income to net cash used in operating activities: | ||||||||||||
Amortization of premiums, discounts, and securities issuance costs, net | (26,487 | ) | (34,089 | ) | (34,133 | ) | ||||||
Depreciation and amortization of non-financial assets | 1,140 | 824 | 513 | |||||||||
Purchases of held-for-sale loans | (4,953,619 | ) | (11,045,813 | ) | (9,917,943 | ) | ||||||
Proceeds from sales of held-for-sale loans | 4,192,671 | 9,761,010 | 8,126,249 | |||||||||
Principal payments on held-for-sale loans | 80,033 | 80,299 | 30,233 | |||||||||
Net settlements of derivatives | (7,301 | ) | (59,406 | ) | (33,220 | ) | ||||||
(Reversal of) provision for loan losses | (7,102 | ) | (355 | ) | 961 | |||||||
Non-cash equity award compensation expense | 12,648 | 11,806 | 11,271 | |||||||||
Market valuation adjustments | 12,917 | 51,975 | 298 | |||||||||
Realized gains, net | (28,009 | ) | (36,369 | ) | (15,478 | ) | ||||||
Net change in: | ||||||||||||
Accrued interest receivable and other assets | 42,572 | (88,173 | ) | (57,685 | ) | |||||||
Accrued interest payable, deferred tax liabilities, and accrued expenses and other liabilities | 3,632 | 5,993 | (2,768 | ) | ||||||||
Net cash used in operating activities | (545,653 | ) | (1,250,210 | ) | (1,791,133 | ) | ||||||
Cash Flows From Investing Activities: | ||||||||||||
Purchases of loans held-for-investment | — | (22,219 | ) | (87,454 | ) | |||||||
Proceeds from sales of loans held-for-investment | 235,604 | 6,459 | — | |||||||||
Principal payments on loans held-for-investment | 798,831 | 500,239 | 364,040 | |||||||||
Purchases of real estate securities | (318,268 | ) | (179,265 | ) | (168,654 | ) | ||||||
Proceeds from sales of real estate securities | 497,191 | 439,493 | 504,754 | |||||||||
Principal payments on real estate securities | 80,055 | 138,630 | 174,241 | |||||||||
Purchase of mortgage servicing rights | (15,338 | ) | (32,388 | ) | (46,113 | ) | ||||||
Proceeds from sales of mortgage servicing rights | 58,642 | 17,235 | — | |||||||||
Net change in restricted cash | (3,056 | ) | (4,939 | ) | (230 | ) | ||||||
Net cash provided by investing activities | 1,333,661 | 863,245 | 740,584 | |||||||||
Cash Flows From Financing Activities: | ||||||||||||
Proceeds from borrowings on short-term debt | 3,918,083 | 8,570,291 | 8,320,982 | |||||||||
Repayments on short-term debt | (4,981,547 | ) | (8,534,802 | ) | (7,442,836 | ) | ||||||
Repayments on asset-backed securities issued | (261,351 | ) | (388,962 | ) | (396,734 | ) | ||||||
Deferred securities issuance costs | — | (33 | ) | (6,934 | ) | |||||||
Proceeds from issuance of long-term debt | 771,287 | 1,400,222 | 770,042 | |||||||||
Repayments on long-term debt | (118,146 | ) | (527,371 | ) | (685 | ) | ||||||
Net settlements of derivatives | (156 | ) | (43 | ) | (3,352 | ) | ||||||
Net proceeds from issuance of common stock | 304 | 7,301 | 9,511 | |||||||||
Net payments on repurchase of common stock | (28,073 | ) | (85,820 | ) | — | |||||||
Taxes paid on equity award distributions | (7,329 | ) | (8,448 | ) | (7,643 | ) | ||||||
Dividends paid | (88,465 | ) | (94,871 | ) | (95,273 | ) | ||||||
Net cash (used in) provided by financing activities | (795,393 | ) | 337,464 | 1,147,078 | ||||||||
Net (decrease) increase in cash and cash equivalents | (7,385 | ) | (49,501 | ) | 96,529 | |||||||
Cash and cash equivalents at beginning of period | 220,229 | 269,730 | 173,201 | |||||||||
Cash and cash equivalents at end of period | $ | 212,844 | $ | 220,229 | $ | 269,730 | ||||||
Supplemental Cash Flow Information: | ||||||||||||
Cash paid during the period for: | ||||||||||||
Interest | $ | 87,164 | $ | 86,849 | $ | 81,350 | ||||||
Taxes | 1,303 | 165 | 1,407 | |||||||||
Supplemental Noncash Information: | ||||||||||||
Real estate securities retained from loan securitizations | $ | 9,127 | $ | 244,177 | $ | 150,387 | ||||||
Retention of mortgage servicing rights from loan securitizations and sales | 10,060 | 64,725 | 48,000 | |||||||||
Transfers from loans held-for-sale to loans held-for-investment | 1,063,860 | 1,555,814 | 633,707 | |||||||||
Transfers from loans held-for-investment to loans held-for-sale | 359,005 | 154,012 | — | |||||||||
Transfers from residential loans to real estate owned | 11,632 | 8,500 | 6,844 |
Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in Consolidated Balance Sheet | Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | Gross Amounts Not Offset in Consolidated Balance Sheet (1) | Net Amount | ||||||||||||||||||||
December 31, 2016 (In Thousands) | Financial Instruments | Cash Collateral (Received) Pledged | ||||||||||||||||||||||
Assets (2) | ||||||||||||||||||||||||
Interest rate agreements | $ | 24,980 | $ | — | $ | 24,980 | $ | (7,736 | ) | $ | (4,784 | ) | $ | 12,460 | ||||||||||
TBAs | 8,300 | — | 8,300 | (3,936 | ) | (4,364 | ) | — | ||||||||||||||||
Total Assets | $ | 33,280 | $ | — | $ | 33,280 | $ | (11,672 | ) | $ | (9,148 | ) | $ | 12,460 | ||||||||||
Liabilities (2) | ||||||||||||||||||||||||
Interest rate agreements | $ | (56,919 | ) | $ | — | $ | (56,919 | ) | $ | 7,736 | $ | 49,183 | $ | — | ||||||||||
TBAs | (4,681 | ) | — | (4,681 | ) | 3,936 | — | (745 | ) | |||||||||||||||
Futures | (928 | ) | — | (928 | ) | — | 928 | — | ||||||||||||||||
Loan warehouse debt | (485,544 | ) | — | (485,544 | ) | 485,544 | — | — | ||||||||||||||||
Security repurchase agreements | (305,995 | ) | — | (305,995 | ) | 305,995 | — | — | ||||||||||||||||
Total Liabilities | $ | (854,067 | ) | $ | — | $ | (854,067 | ) | $ | 803,211 | $ | 50,111 | $ | (745 | ) |
Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in Consolidated Balance Sheet | Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | Gross Amounts Not Offset in Consolidated Balance Sheet (1) | Net Amount | ||||||||||||||||||||
December 31, 2015 (In Thousands) | Financial Instruments | Cash Collateral (Received) Pledged | ||||||||||||||||||||||
Assets (2) | ||||||||||||||||||||||||
Interest rate agreements | $ | 7,781 | $ | — | $ | 7,781 | $ | (5,651 | ) | $ | (1,917 | ) | $ | 213 | ||||||||||
Credit default index swaps | 1,207 | — | 1,207 | — | (720 | ) | 487 | |||||||||||||||||
TBAs | 2,734 | — | 2,734 | (1,898 | ) | (293 | ) | 543 | ||||||||||||||||
Total Assets | $ | 11,722 | $ | — | $ | 11,722 | $ | (7,549 | ) | $ | (2,930 | ) | $ | 1,243 | ||||||||||
Liabilities (2) | ||||||||||||||||||||||||
Interest rate agreements | $ | (58,366 | ) | $ | — | $ | (58,366 | ) | $ | 5,651 | $ | 52,715 | $ | — | ||||||||||
TBAs | (2,519 | ) | — | (2,519 | ) | 1,898 | 7 | (614 | ) | |||||||||||||||
Futures | (445 | ) | — | (445 | ) | — | 445 | — | ||||||||||||||||
Loan warehouse debt | (1,023,740 | ) | — | (1,023,740 | ) | 1,023,740 | — | — | ||||||||||||||||
Security repurchase agreements | (693,641 | ) | — | (693,641 | ) | 693,641 | — | — | ||||||||||||||||
Total Liabilities | $ | (1,778,711 | ) | $ | — | $ | (1,778,711 | ) | $ | 1,724,930 | $ | 53,167 | $ | (614 | ) |
(1) | Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. |
(2) | Interest rate agreements, TBAs, credit default index swaps, and futures are components of derivatives instruments on our consolidated balances sheets. Loan warehouse debt, which is secured by residential and commercial mortgage loans, and security repurchase agreements are components of Short-term debt on our consolidated balance sheets. |
December 31, 2016 | Sequoia Entities | Commercial Securitization | Total | |||||||||
(Dollars in Thousands) | ||||||||||||
Residential loans, held-for-investment | $ | 791,636 | $ | — | $ | 791,636 | ||||||
Restricted cash | 148 | — | 148 | |||||||||
Accrued interest receivable | 1,000 | — | 1,000 | |||||||||
Other assets | 5,533 | — | 5,533 | |||||||||
Total Assets | $ | 798,317 | $ | — | $ | 798,317 | ||||||
Accrued interest payable | $ | 518 | $ | — | $ | 518 | ||||||
Asset-backed securities issued | 773,462 | — | 773,462 | |||||||||
Total Liabilities | $ | 773,980 | $ | — | $ | 773,980 | ||||||
Number of VIEs | 20 | — | 20 | |||||||||
December 31, 2015 | Sequoia Entities | Commercial Securitization | Total | |||||||||
(Dollars in Thousands) | ||||||||||||
Residential loans, held-for-investment | $ | 1,021,870 | $ | — | $ | 1,021,870 | ||||||
Commercial loans, held-for-investment | — | 166,016 | 166,016 | |||||||||
Restricted cash | 228 | 137 | 365 | |||||||||
Accrued interest receivable | 1,131 | 1,297 | 2,428 | |||||||||
Other assets | 4,895 | — | 4,895 | |||||||||
Total Assets | $ | 1,028,124 | $ | 167,450 | $ | 1,195,574 | ||||||
Accrued interest payable | $ | 555 | $ | 249 | $ | 804 | ||||||
Accrued expenses and other liabilities | 100 | — | 100 | |||||||||
Asset-backed securities issued, net | 996,820 | 53,137 | 1,049,957 | |||||||||
Total Liabilities | $ | 997,475 | $ | 53,386 | $ | 1,050,861 | ||||||
Number of VIEs | 21 | 1 | 22 |
Years Ended December 31, | ||||||||
(In Thousands) | 2016 | 2015 | ||||||
Principal balance of loans transferred | $ | 1,036,584 | $ | 1,375,532 | ||||
Trading securities retained, at fair value | 3,573 | 252,222 | ||||||
AFS securities retained, at fair value | 5,554 | 7,852 | ||||||
MSRs recognized | 6,451 | 8,202 |
Years Ended December 31, | ||||||||
(In Thousands) | 2016 | 2015 | ||||||
Proceeds from new transfers | $ | 1,057,688 | $ | 1,139,052 | ||||
MSR fees received | 13,842 | 14,874 | ||||||
Funding of compensating interest | (338 | ) | (363 | ) | ||||
Cash flows received on retained securities | 30,191 | 43,460 |
Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
At Date of Securitization | MSRs | Senior Securities | Subordinate Securities | MSRs | Senior Securities | Subordinate Securities | |||||||||||
Prepayment rates | 21 | % | N/A | 15 | % | 14 | % | 10 | % | 8 | % | ||||||
Discount rates | 11 | % | N/A | 6 | % | 11 | % | 3 | % | 6 | % | ||||||
Credit loss assumptions | N/A | N/A | 0.25 | % | N/A | 0.12 | % | 0.24 | % |
(In Thousands) | December 31, 2016 | December 31, 2015 | ||||||
On-balance sheet assets, at fair value: | ||||||||
Interest-only, senior and subordinate securities, classified as trading | $ | 41,909 | $ | 258,697 | ||||
Subordinate securities, classified as AFS | 234,025 | 272,715 | ||||||
Mortgage servicing rights | 58,800 | 56,984 | ||||||
Maximum loss exposure (1) | $ | 334,734 | $ | 588,396 | ||||
Assets transferred: | ||||||||
Principal balance of loans outstanding | $ | 6,870,398 | $ | 7,318,167 | ||||
Principal balance of loans 30+ days delinquent | 21,427 | 18,300 |
(1) | Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities and MSRs retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. |
December 31, 2016 | MSRs | Senior Securities (1) | Subordinate Securities | |||||||||
(Dollars in Thousands) | ||||||||||||
Fair value at December 31, 2016 | $ | 58,800 | $ | 26,618 | $ | 249,317 | ||||||
Expected life (in years) (2) | 7 | 6 | 12 | |||||||||
Prepayment speed assumption (annual CPR) (2) | 11 | % | 8 | % | 12 | % | ||||||
Decrease in fair value from: | ||||||||||||
10% adverse change | $ | 2,226 | $ | 1,075 | $ | 997 | ||||||
25% adverse change | 5,284 | 2,569 | 2,494 | |||||||||
Discount rate assumption (2) | 11 | % | 8 | % | 6 | % | ||||||
Decrease in fair value from: | ||||||||||||
100 basis point increase | $ | 2,088 | $ | 1,105 | $ | 19,574 | ||||||
200 basis point increase | 4,032 | 2,128 | 36,574 | |||||||||
Credit loss assumption (2) | N/A | 0.25 | % | 0.25 | % | |||||||
Decrease in fair value from: | ||||||||||||
10% higher losses | N/A | $ | 19 | $ | 1,174 | |||||||
25% higher losses | N/A | 49 | 2,933 |
December 31, 2015 | MSRs | Senior Securities (1) | Subordinate Securities | |||||||||
(Dollars in Thousands) | ||||||||||||
Fair value at December 31, 2015 | $ | 56,984 | $ | 248,570 | $ | 282,842 | ||||||
Expected life (in years) (2) | 7 | 5 | 12 | |||||||||
Prepayment speed assumption (annual CPR) (2) | 11 | % | 10 | % | 12 | % | ||||||
Decrease in fair value from: | ||||||||||||
10% adverse change | $ | 2,868 | $ | 2,042 | $ | 901 | ||||||
25% adverse change | 6,119 | 4,810 | 2,278 | |||||||||
Discount rate assumption (2) | 11 | % | 5 | % | 6 | % | ||||||
Decrease in fair value from: | ||||||||||||
100 basis point increase | $ | 2,711 | $ | 10,029 | $ | 21,981 | ||||||
200 basis point increase | 4,745 | 19,365 | 41,156 | |||||||||
Credit loss assumption (2) | N/A | 0.25 | % | 0.25 | % | |||||||
Decrease in fair value from: | ||||||||||||
10% higher losses | N/A | $ | 35 | $ | 1,244 | |||||||
25% higher losses | N/A | 86 | 3,129 |
(1) | Senior securities included $27 million and $31 million of interest only securities at December 31, 2016 and December 31, 2015, respectively. |
(2) | Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. |
(Dollars in Thousands) | December 31, 2016 | |||
Mortgage Backed Securities | ||||
Senior | $ | 146,995 | ||
Re-REMIC | 85,479 | |||
Subordinate | 510,030 | |||
Total Investments in Third-Party Sponsored VIEs | $ | 742,504 |
December 31, 2016 | December 31, 2015 | |||||||||||||||
Carrying Value | Fair Value | Carrying Value | Fair Value | |||||||||||||
(In Thousands) | ||||||||||||||||
Assets | ||||||||||||||||
Residential loans, held-for-sale | ||||||||||||||||
At fair value | $ | 834,193 | $ | 834,193 | $ | 1,114,305 | $ | 1,114,305 | ||||||||
At lower of cost or fair value | 1,206 | 1,365 | 1,433 | 1,635 | ||||||||||||
Residential loans, held-for-investment | ||||||||||||||||
At fair value | 3,052,652 | 3,052,652 | 2,813,065 | 2,813,065 | ||||||||||||
Commercial loans, held-for-sale | ||||||||||||||||
At fair value | — | — | 39,141 | 39,141 | ||||||||||||
At lower of cost or fair value | 2,700 | 2,700 | — | — | ||||||||||||
Commercial loans, held-for-investment | ||||||||||||||||
At fair value | — | — | 67,657 | 67,657 | ||||||||||||
At amortized cost | — | — | 295,849 | 300,824 | ||||||||||||
Trading securities | 445,687 | 445,687 | 404,011 | 404,011 | ||||||||||||
Available-for-sale securities | 572,752 | 572,752 | 829,245 | 829,245 | ||||||||||||
MSRs | 118,526 | 118,526 | 191,976 | 191,976 | ||||||||||||
Cash and cash equivalents | 212,844 | 212,844 | 220,229 | 220,229 | ||||||||||||
Restricted cash | 8,623 | 8,623 | 5,567 | 5,567 | ||||||||||||
Accrued interest receivable | 18,454 | 18,454 | 23,290 | 23,290 | ||||||||||||
Derivative assets | 36,595 | 36,595 | 16,393 | 16,393 | ||||||||||||
REO (1) | 5,533 | 5,560 | 4,896 | 5,282 | ||||||||||||
Margin receivable (1) | 68,038 | 68,038 | 83,191 | 83,191 | ||||||||||||
FHLBC stock (1) | 43,393 | 43,393 | 34,437 | 34,437 | ||||||||||||
Guarantee asset (1) | 4,092 | 4,092 | 5,697 | 5,697 | ||||||||||||
Pledged collateral (1) | 42,875 | 42,875 | 53,600 | 53,600 | ||||||||||||
Liabilities | ||||||||||||||||
Short-term debt | $ | 791,539 | $ | 791,539 | $ | 1,855,003 | $ | 1,855,003 | ||||||||
Accrued interest payable | 9,608 | 9,608 | 8,936 | 8,936 | ||||||||||||
Margin payable | 12,783 | 12,783 | 6,415 | 6,415 | ||||||||||||
Guarantee obligation | 21,668 | 22,181 | 22,704 | 22,702 | ||||||||||||
Derivative liabilities | 66,329 | 66,329 | 62,794 | 62,794 | ||||||||||||
ABS issued, net (2) | ||||||||||||||||
Fair value | 773,462 | 773,462 | 996,820 | 996,820 | ||||||||||||
Amortized cost | — | — | 52,595 | 53,137 | ||||||||||||
FHLBC long-term borrowings | 1,999,999 | 1,999,999 | 1,343,023 | 1,343,023 | ||||||||||||
Commercial secured borrowings | — | — | 63,152 | 63,152 | ||||||||||||
Convertible notes, net (2) | 482,195 | 493,365 | 483,119 | 461,053 | ||||||||||||
Trust preferred securities and subordinated notes, net (2) | 138,489 | 96,255 | 138,443 | 83,700 |
(1) | These assets are included in Other assets on our consolidated balance sheets. |
(2) | On January 1, 2016, we adopted ASU 2015-03 and began to present ABS issued, convertible notes, and trust preferred securities and subordinated notes, each net of deferred debt issuance costs. See Note 3 for further discussion. |
December 31, 2016 | Carrying Value | Fair Value Measurements Using | ||||||||||||||
(In Thousands) | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Residential loans | $ | 3,886,845 | $ | — | $ | — | $ | 3,886,845 | ||||||||
Trading securities | 445,687 | — | — | 445,687 | ||||||||||||
Available-for-sale securities | 572,752 | — | — | 572,752 | ||||||||||||
Derivative assets | 36,595 | 8,300 | 24,980 | 3,315 | ||||||||||||
MSRs | 118,526 | — | — | 118,526 | ||||||||||||
Pledged collateral | 42,875 | 42,875 | — | — | ||||||||||||
FHLBC stock | 43,393 | — | 43,393 | — | ||||||||||||
Guarantee asset | 4,092 | — | — | 4,092 | ||||||||||||
Liabilities | ||||||||||||||||
Derivative liabilities | $ | 66,329 | $ | 5,609 | $ | 56,919 | $ | 3,801 | ||||||||
ABS issued | 773,462 | — | — | 773,462 |
December 31, 2015 | Carrying Value | Fair Value Measurements Using | ||||||||||||||
(In Thousands) | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Residential loans | $ | 3,927,370 | $ | — | $ | 129,819 | $ | 3,797,551 | ||||||||
Commercial loans | 106,798 | — | — | 106,798 | ||||||||||||
Trading securities | 404,011 | — | — | 404,011 | ||||||||||||
Available-for-sale securities | 829,245 | — | — | 829,245 | ||||||||||||
Derivative assets | 16,393 | 2,734 | 8,988 | 4,671 | ||||||||||||
MSRs | 191,976 | — | — | 191,976 | ||||||||||||
Pledged collateral | 53,600 | 53,600 | — | — | ||||||||||||
FHLBC stock | 34,437 | — | 34,437 | — | ||||||||||||
Guarantee asset | 5,697 | — | — | 5,697 | ||||||||||||
Liabilities | ||||||||||||||||
Derivative liabilities | $ | 62,794 | $ | 2,963 | $ | 58,368 | $ | 1,463 | ||||||||
Commercial secured borrowings | 63,152 | — | — | 63,152 | ||||||||||||
ABS issued | 996,820 | — | — | 996,820 |
Assets | Liabilities | |||||||||||||||||||||||||||||||||||
Residential Loans | Commercial Loans | Trading Securities | AFS Securities | MSRs | Guarantee Asset | Derivatives (1) | Commercial Secured Borrowings | ABS Issued | ||||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||||||||
Beginning balance - December 31, 2015 | $ | 3,797,551 | $ | 106,798 | $ | 404,011 | $ | 829,245 | $ | 191,976 | $ | 5,697 | $ | 3,208 | $ | 63,152 | $ | 996,820 | ||||||||||||||||||
Acquisitions | 4,747,564 | 37,625 | 292,875 | 34,520 | 25,362 | — | — | — | — | |||||||||||||||||||||||||||
Sales | (3,813,538 | ) | (81,523 | ) | (244,219 | ) | (252,696 | ) | (62,440 | ) | — | — | — | — | ||||||||||||||||||||||
Principal paydowns | (806,081 | ) | (476 | ) | (17,827 | ) | (62,229 | ) | — | — | — | (306 | ) | (208,215 | ) | |||||||||||||||||||||
Gains (losses) in net income, net | (33,893 | ) | 2,791 | 10,847 | 48,399 | (36,372 | ) | (1,605 | ) | 30,193 | 2,369 | (8,275 | ) | |||||||||||||||||||||||
Unrealized losses in OCI, net | — | — | — | (24,487 | ) | — | — | — | — | — | ||||||||||||||||||||||||||
Other settlements, net (2) | (4,758 | ) | (65,215 | ) | — | — | — | — | (33,887 | ) | (65,215 | ) | (6,868 | ) | ||||||||||||||||||||||
Ending balance - December 31, 2016 | $ | 3,886,845 | $ | — | $ | 445,687 | $ | 572,752 | $ | 118,526 | $ | 4,092 | $ | (486 | ) | $ | — | $ | 773,462 |
Assets | Liabilities | |||||||||||||||||||||||||||||||||||
(In Thousands) | Residential Loans | Commercial Loans | Trading Securities | AFS Securities | MSRs | Guarantee Asset | Derivatives (1) | Commercial Secured Borrowings | ABS Issued | |||||||||||||||||||||||||||
Beginning balance - December 31, 2014 | $ | 1,677,984 | $ | 237,496 | $ | 111,606 | $ | 1,267,624 | $ | 139,293 | $ | 7,201 | $ | 1,119 | $ | 66,707 | $ | — | ||||||||||||||||||
Transfer to FVO (3) | 1,370,699 | — | — | — | — | — | — | — | 1,302,216 | |||||||||||||||||||||||||||
Acquisitions | 5,231,532 | 617,519 | 399,990 | 33,370 | 95,281 | — | — | — | — | |||||||||||||||||||||||||||
Sales | (3,857,807 | ) | (754,636 | ) | (83,038 | ) | (366,373 | ) | (18,206 | ) | — | — | — | (1,362 | ) | |||||||||||||||||||||
Principal paydowns | (612,473 | ) | (780 | ) | (7,245 | ) | (131,387 | ) | — | — | — | (593 | ) | (312,800 | ) | |||||||||||||||||||||
Gains (losses) in net income, net | (6,071 | ) | 7,199 | (17,302 | ) | 72,612 | (24,392 | ) | (1,377 | ) | 60,823 | (3,011 | ) | 8,366 | ||||||||||||||||||||||
Unrealized gains in OCI, net | — | — | — | (46,961 | ) | — | — | — | — | — | ||||||||||||||||||||||||||
Other settlements, net (2) | (6,313 | ) | — | — | 360 | — | (127 | ) | (58,734 | ) | 49 | 400 | ||||||||||||||||||||||||
Ending balance - December 31, 2015 | $ | 3,797,551 | $ | 106,798 | $ | 404,011 | $ | 829,245 | $ | 191,976 | $ | 5,697 | $ | 3,208 | $ | 63,152 | $ | 996,820 |
(1) | For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented on a net basis. |
(2) | Other settlements, net for derivatives represents the transfer of the fair value of loan purchase commitments at the time loans are acquired to the basis of residential loans. For commercial secured borrowings and commercial loans, the reduction in 2016 represents the derecognition of our commercial secured borrowings and related commercial A-note investments upon sale of the associated B-notes. |
(3) | Upon adoption of ASU 2014-13 on January 1, 2015, loans held-for-investment in, and ABS issued by, consolidated financial entities are now recorded at fair value. See Note 3 for further discussion. |
Included in Net Income | ||||||||||||
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Assets | ||||||||||||
Residential loans at Redwood | $ | (17,370 | ) | $ | (5,541 | ) | $ | 16,512 | ||||
Residential loans at consolidated Sequoia entities | (14,391 | ) | 7,422 | — | ||||||||
Commercial loans | — | (2,620 | ) | 3,357 | ||||||||
Trading securities | 7,184 | (13,391 | ) | (25,216 | ) | |||||||
Available-for-sale securities | (368 | ) | (246 | ) | (434 | ) | ||||||
MSRs | 42,964 | (3,471 | ) | (15,239 | ) | |||||||
Loan purchase commitments | — | 4,252 | 1,119 | |||||||||
Other assets - Guarantee asset | (1,605 | ) | (1,504 | ) | — | |||||||
Liabilities | ||||||||||||
Loan purchase commitments | $ | (486 | ) | $ | — | $ | — | |||||
Commercial secured borrowing | — | 3,011 | 2,033 | |||||||||
ABS issued | 8,275 | (8,366 | ) | — |
Gain (Loss) for Year Ended | ||||||||||||||||||||
December 31, 2016 | Carrying Value | Fair Value Measurements Using | ||||||||||||||||||
(In Thousands) | Level 1 | Level 2 | Level 3 | December 31, 2016 | ||||||||||||||||
Assets | ||||||||||||||||||||
Residential loans, at lower of cost or fair value | $ | 867 | $ | — | $ | — | $ | 867 | $ | (17 | ) | |||||||||
Commercial loans, at lower of cost or fair value | 2,700 | — | — | 2,700 | (300 | ) | ||||||||||||||
REO | 5,207 | — | — | 5,207 | (1,831 | ) | ||||||||||||||
Gain (Loss) for Year Ended | ||||||||||||||||||||
December 31, 2015 | Carrying Value | Fair Value Measurements Using | ||||||||||||||||||
(In Thousands) | Level 1 | Level 2 | Level 3 | December 31, 2015 | ||||||||||||||||
Assets | ||||||||||||||||||||
Residential loans, at lower of cost or fair value | $ | 1,096 | $ | — | $ | — | $ | 1,096 | $ | 3 | ||||||||||
REO | 2,395 | — | — | 2,395 | (764 | ) | ||||||||||||||
Liabilities | ||||||||||||||||||||
Guarantee obligation | 4,414 | — | — | 4,414 | — |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Mortgage Banking Activities, Net | ||||||||||||
Residential loans held-for-sale, at fair value | $ | 5,786 | $ | 3,712 | $ | 51,312 | ||||||
Residential loan purchase and forward sale commitments | 25,613 | 50,234 | 13,891 | |||||||||
Commercial loans, at fair value (1) | 433 | 10,265 | 20,788 | |||||||||
Sequoia securities | 1,455 | (15,261 | ) | (23,839 | ) | |||||||
Risk management derivatives, net | 3,158 | (42,468 | ) | (31,167 | ) | |||||||
Total mortgage banking activities, net (2) | $ | 36,445 | $ | 6,482 | $ | 30,985 | ||||||
Investment Fair Value Changes, Net | ||||||||||||
Residential loans held-for-investment at Redwood | (23,102 | ) | (6,337 | ) | (697 | ) | ||||||
Trading securities | 9,666 | (2,019 | ) | (358 | ) | |||||||
Valuation adjustments on commercial loans held-for-sale | (307 | ) | — | — | ||||||||
Net investments in consolidated Sequoia entities | (4,200 | ) | (1,192 | ) | (894 | ) | ||||||
Risk sharing investments | (1,151 | ) | (1,886 | ) | 104 | |||||||
Risk management derivatives, net | (9,112 | ) | (9,677 | ) | (7,792 | ) | ||||||
Impairments on AFS securities | (368 | ) | (246 | ) | (565 | ) | ||||||
Total investment fair value changes, net | $ | (28,574 | ) | $ | (21,357 | ) | $ | (10,202 | ) | |||
MSR Income (Loss), Net | ||||||||||||
MSRs | $ | (36,372 | ) | $ | (24,392 | ) | $ | (21,081 | ) | |||
Risk management derivatives, net | 15,584 | (12,708 | ) | — | ||||||||
Total MSR loss, net (3) | $ | (20,788 | ) | $ | (37,100 | ) | $ | (21,081 | ) | |||
Total Market Valuation Gains (Losses), Net | $ | (12,917 | ) | $ | (51,975 | ) | $ | (298 | ) |
(1) | Commercial loans at fair value does not include commercial A-notes, which were sold in 2014, but did not qualify for sale treatment under GAAP. The market valuation gains and losses on the commercial A-notes and associated commercial secured borrowings net to zero in each period presented. |
(2) | Mortgage banking activities, net presented above does not include fee income or provisions for repurchases that are components of Mortgage banking activities, net presented on our consolidated statements of income, as these amounts do not represent market valuation changes. |
(3) | MSR income (loss), net presented above does not include net fee income or provisions for repurchases that are components of MSR income (loss), net on our consolidated statements of income, as these amounts do not represent market valuation adjustments. In addition, we did not specifically identify derivatives used to hedge MSRs prior to the second quarter of 2015. See Note 2 for additional detail. |
December 31, 2016 | Fair Value | Input Values | ||||||||||||||||||
(Dollars in Thousands, except Input Values) | Unobservable Input | Range | Weighted Average | |||||||||||||||||
Assets | ||||||||||||||||||||
Residential loans, at fair value: | ||||||||||||||||||||
Jumbo fixed rate loans | $ | 2,871,120 | Whole loan spread to TBA price | $ | 3.05 | - | $ | 4.06 | $ | 3.94 | ||||||||||
Whole loan spread to swap rate | 275 | - | 305 | bps | 304 | bps | ||||||||||||||
Jumbo hybrid loans | 50,974 | Prepayment rate (annual CPR) | 15 | - | 15 | % | 15 | % | ||||||||||||
Whole loan spread to swap rate | 135 | - | 275 | bps | 168 | bps | ||||||||||||||
Jumbo loans committed to sell | 173,114 | Whole loan committed sales price | $ | 99.98 | - | $ | 102.06 | $ | 100.61 | |||||||||||
Loans held by consolidated Sequoia entities (1) | 791,636 | Liability price | N/A | N/A | ||||||||||||||||
Residential loans, at lower of cost or fair value | 867 | Loss severity | 15 | - | 30 | % | 20 | % | ||||||||||||
Trading and AFS securities | 1,018,439 | Discount rate | 4 | - | 12 | % | 7 | % | ||||||||||||
Prepayment rate (annual CPR) | 1 | - | 57 | % | 20 | % | ||||||||||||||
Default rate | 0 | - | 35 | % | 2 | % | ||||||||||||||
Loss severity | 20 | - | 65 | % | 22 | % | ||||||||||||||
Credit support | 0 | - | 48 | % | 3 | % | ||||||||||||||
MSRs | 118,526 | Discount rate | 10 | - | 11 | % | 10 | % | ||||||||||||
Prepayment rate (annual CPR) | 5 | - | 11 | % | 9 | % | ||||||||||||||
Per loan annual cost to service | $ | 72 | - | $ | 82 | $ | 77 | |||||||||||||
Guarantee asset | 4,092 | Discount rate | 11 | - | 11 | % | 11 | % | ||||||||||||
Prepayment rate (annual CPR) | 10 | - | 10 | % | 10 | % | ||||||||||||||
REO | 5,207 | Loss severity | 1 | - | 100 | % | 24 | % | ||||||||||||
Liabilities | ||||||||||||||||||||
Loan purchase commitments, net (2) | 486 | MSR multiple | 0.9 | - | 5.4 | x | 3.6 | x | ||||||||||||
Pull-through rate | 12 | - | 100 | % | 75 | % | ||||||||||||||
Whole loan spread to TBA price | $ | 2.66 | - | $ | 4.06 | $ | 3.98 | |||||||||||||
Whole loan spread to swap rate - fixed rate | 275 | - | 305 | bps | 305 | bps | ||||||||||||||
Prepayment rate (annual CPR) | 15 | - | 15 | % | 15 | % | ||||||||||||||
Whole loan spread to swap rate - hybrid | 135 | - | 275 | bps | 163 | bps | ||||||||||||||
ABS issued (1) | 773,462 | Discount rate | 4 | - | 8 | % | 5 | % | ||||||||||||
Prepayment rate (annual CPR) | 1 | - | 20 | % | 15 | % | ||||||||||||||
Default rate | 1 | - | 12 | % | 7 | % | ||||||||||||||
Loss severity | 20 | - | 32 | % | 27 | % | ||||||||||||||
Credit support | — | - | 34 | % | 9 | % | ||||||||||||||
(1) | The fair value of the loans held by consolidated Sequoia entities was based on the fair value of the ABS issued by these entities, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities. |
(2) | For the purpose of this presentation, loan purchase commitment assets and liabilities are presented net. |
December 31, 2016 | ||||||||||||
(In Thousands) | Redwood | Sequoia | Total | |||||||||
Held-for-sale | ||||||||||||
At fair value - jumbo | $ | 834,193 | $ | — | $ | 834,193 | ||||||
At lower of cost or fair value - jumbo | 1,206 | — | 1,206 | |||||||||
Total held-for-sale | 835,399 | — | 835,399 | |||||||||
Held-for-investment | ||||||||||||
At fair value - jumbo | 2,261,016 | 791,636 | 3,052,652 | |||||||||
Total Residential Loans | $ | 3,096,415 | $ | 791,636 | $ | 3,888,051 |
December 31, 2015 | ||||||||||||
(In Thousands) | Redwood | Sequoia | Total | |||||||||
Held-for-sale | ||||||||||||
At fair value - conforming | $ | 129,819 | $ | — | $ | 129,819 | ||||||
At fair value - jumbo | 984,486 | — | 984,486 | |||||||||
At lower of cost or fair value - jumbo | 1,433 | — | 1,433 | |||||||||
Total held-for-sale | 1,115,738 | — | 1,115,738 | |||||||||
Held-for-investment | ||||||||||||
At fair value - jumbo | 1,791,195 | 1,021,870 | 2,813,065 | |||||||||
Total Residential Loans | $ | 2,906,933 | $ | 1,021,870 | $ | 3,928,803 |
December 31, 2016 | December 31, 2015 | |||||||||||||||||
Geographic Concentration (by Principal) | Held-for-Sale | Held-for- Investment at Sequoia | Held-for- Investment at FVO | Held-for-Sale | Held-for- Investment at Sequoia | Held-for- Investment at FVO | ||||||||||||
California | 40 | % | 18 | % | 42 | % | 41 | % | 18 | % | 39 | % | ||||||
Texas | 9 | % | 6 | % | 10 | % | 9 | % | 6 | % | 11 | % | ||||||
Washington | 8 | % | 2 | % | 4 | % | 6 | % | 2 | % | 3 | % | ||||||
Colorado | 4 | % | 3 | % | 4 | % | 5 | % | 3 | % | 5 | % | ||||||
Florida | 3 | % | 14 | % | 5 | % | 4 | % | 14 | % | 4 | % | ||||||
Virginia | 2 | % | 3 | % | 3 | % | 3 | % | 3 | % | 4 | % | ||||||
Georgia | 2 | % | 5 | % | 1 | % | 3 | % | 5 | % | 1 | % | ||||||
Massachusetts | 2 | % | 2 | % | 4 | % | 2 | % | 2 | % | 4 | % | ||||||
New York | 2 | % | 8 | % | 4 | % | 1 | % | 8 | % | 5 | % | ||||||
Other states (none greater than 5%) | 28 | % | 39 | % | 23 | % | 26 | % | 39 | % | 24 | % | ||||||
Total | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % |
December 31, 2016 | ||||||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||
Loan Balance | Number of Loans | Interest Rate(1) | Maturity Date | Total Principal | 30-89 Days DQ | 90+ Days DQ | ||||||||||||||||||||||||
Held-for-Investment at Redwood (1): | ||||||||||||||||||||||||||||||
Hybrid ARM loans | ||||||||||||||||||||||||||||||
$ | 251 | to | $500 | 1 | 3.63 | % | to | 3.63% | 2044-07 | - | 2044-07 | 264 | — | — | ||||||||||||||||
$ | 501 | to | $750 | 4 | 2.88 | % | to | 4.65% | 2040-09 | - | 2045-10 | 2,722 | — | — | ||||||||||||||||
$ | 751 | to | $1,000 | 2 | 3.50 | % | to | 4.00% | 2045-09 | - | 2045-10 | 1,726 | — | — | ||||||||||||||||
over | $1,000 | 4 | 3.00 | % | to | 4.20% | 2040-10 | - | 2045-10 | 5,545 | — | — | ||||||||||||||||||
11 | 10,257 | — | — | |||||||||||||||||||||||||||
Fixed loans | ||||||||||||||||||||||||||||||
$ | — | to | $250 | 26 | 3.67 | % | to | 5.08% | 2039-04 | - | 2045-10 | 4,643 | — | 237 | ||||||||||||||||
$ | 251 | to | $500 | 633 | 2.80 | % | to | 5.13% | 2028-02 | - | 2046-12 | 278,560 | 264 | — | ||||||||||||||||
$ | 501 | to | $750 | 1,306 | 2.75 | % | to | 6.25% | 2027-09 | - | 2046-12 | 807,714 | 2,803 | — | ||||||||||||||||
$ | 751 | to | $1,000 | 690 | 2.75 | % | to | 5.63% | 2027-07 | - | 2046-12 | 597,002 | — | — | ||||||||||||||||
over | $1,000 | 402 | 2.80 | % | to | 5.00% | 2027-04 | - | 2047-01 | 535,621 | 1,232 | — | ||||||||||||||||||
3,057 | 2,223,540 | 4,299 | 237 | |||||||||||||||||||||||||||
Total HFI at Redwood: | 3,068 | $ | 2,233,797 | $ | 4,299 | $ | 237 | |||||||||||||||||||||||
Held-for-Investment at Sequoia: | ||||||||||||||||||||||||||||||
ARM loans: | ||||||||||||||||||||||||||||||
$ | — | to | $250 | 2,623 | 0.63 | % | to | 5.60% | 2019-02 | - | 2035-11 | $ | 297,646 | $ | 9,158 | $ | 7,410 | |||||||||||||
$ | 251 | to | $500 | 694 | 0.25 | % | to | 5.75% | 2019-12 | - | 2036-05 | 241,253 | 9,177 | 10,059 | ||||||||||||||||
$ | 501 | to | $750 | 203 | 0.88 | % | to | 3.89% | 2024-05 | - | 2035-09 | 121,919 | 5,812 | 5,069 | ||||||||||||||||
$ | 751 | to | $1,000 | 100 | 0.63 | % | to | 3.00% | 2022-01 | - | 2035-07 | 86,988 | 2,750 | 3,322 | ||||||||||||||||
over | $1,000 | 78 | 0.25 | % | to | 3.75% | 2027-03 | - | 2036-05 | 121,484 | 4,790 | 4,306 | ||||||||||||||||||
3,698 | 869,290 | 31,687 | 30,166 | |||||||||||||||||||||||||||
Hybrid ARM loans: | ||||||||||||||||||||||||||||||
$ | — | to | $250 | 4 | 3.00 | % | to | 3.00% | 2033-09 | - | 2034-06 | 453 | — | — | ||||||||||||||||
$ | 251 | to | $500 | 18 | 2.63 | % | to | 3.13% | 2033-07 | - | 2034-12 | 6,516 | — | — | ||||||||||||||||
$ | 501 | to | $750 | 13 | 2.75 | % | to | 3.13% | 2033-07 | - | 2034-12 | 8,483 | 669 | — | ||||||||||||||||
$ | 751 | to | $1,000 | 1 | 3.13 | % | to | 3.13% | 2033-08 | - | 2033-08 | 751 | — | — | ||||||||||||||||
over | $1,000 | 1 | 3.00 | % | to | 3.00% | 2033-09 | - | 2033-09 | 1,488 | — | — | ||||||||||||||||||
37 | 17,691 | 669 | — | |||||||||||||||||||||||||||
Total HFI at Sequoia: | 3,735 | $ | 886,981 | $ | 32,356 | $ | 30,166 | |||||||||||||||||||||||
Held-for-Sale: | ||||||||||||||||||||||||||||||
ARM loans | ||||||||||||||||||||||||||||||
$ | 61 | to | $396 | 6 | 1.88 | % | to | 2.75% | 2033-10 | - | 2032-11 | $ | 882 | $ | — | $ | 300 | |||||||||||||
Hybrid ARM loans | ||||||||||||||||||||||||||||||
$ | 2 | to | $1,947 | 173 | 2.50 | % | to | 6.00% | 2037-06 | - | 2047-01 | 144,174 | — | — | ||||||||||||||||
Fixed loans | ||||||||||||||||||||||||||||||
$ | 404 | to | $1,997 | 942 | 2.99 | % | to | 6.25% | 2026-12 | - | 2047-01 | 688,329 | — | — | ||||||||||||||||
Total Held-for-Sale | 1,121 | $ | 833,385 | $ | — | $ | 300 |
December 31, 2015 | ||||||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||
Loan Balance | Number of Loans | Interest Rate(1) | Maturity Date | Total Principal | 30-89 Days DQ | 90+ Days DQ | ||||||||||||||||||||||||
Held-for-Investment at Redwood (1): | ||||||||||||||||||||||||||||||
ARM loans: | ||||||||||||||||||||||||||||||
$ | 251 | to | $500 | 2 | 3.63 | % | to | 3.75% | 2044-07 | - | 2044-07 | $ | 563 | $ | — | $ | — | |||||||||||||
$ | 501 | to | $750 | 2 | 3.50 | % | to | 3.50% | 2045-09 | - | 2045-10 | 1,671 | — | — | ||||||||||||||||
$ | 751 | to | $1,000 | 1 | 3.63 | % | to | 3.63% | 2044-08 | - | 2044-08 | 1,267 | — | — | ||||||||||||||||
5 | 3,501 | — | — | |||||||||||||||||||||||||||
Hybrid ARM loans | ||||||||||||||||||||||||||||||
$ | 251 | to | $500 | 7 | 2.88 | % | to | 3.88% | 2044-01 | - | 2044-09 | 2,963 | — | — | ||||||||||||||||
$ | 501 | to | $750 | 28 | 2.63 | % | to | 4.90% | 2040-09 | - | 2044-10 | 17,514 | — | — | ||||||||||||||||
$ | 751 | to | $1,000 | 15 | 2.75 | % | to | 5.05% | 2039-05 | - | 2044-11 | 12,994 | — | — | ||||||||||||||||
over | $1,000 | 6 | 2.88 | % | to | 5.20% | 2039-04 | - | 2044-12 | 8,797 | — | — | ||||||||||||||||||
56 | 42,268 | — | — | |||||||||||||||||||||||||||
Fixed loans | ||||||||||||||||||||||||||||||
$ | — | to | $250 | 29 | 3.64 | % | to | 5.38% | 2039-04 | - | 2045-10 | 5,295 | 242 | — | ||||||||||||||||
$ | 251 | to | $500 | 484 | 3.13 | % | to | 5.13% | 2029-07 | - | 2045-12 | 212,732 | 913 | — | ||||||||||||||||
$ | 501 | to | $750 | 959 | 2.94 | % | to | 5.25% | 2026-11 | - | 2045-12 | 595,863 | 3,213 | — | ||||||||||||||||
$ | 751 | to | $1,000 | 552 | 2.90 | % | to | 5.00% | 2024-01 | - | 2045-12 | 480,557 | 989 | — | ||||||||||||||||
over | $1,000 | 313 | 3.14 | % | to | 5.00% | 2027-04 | - | 2045-12 | 418,774 | — | — | ||||||||||||||||||
2,337 | 1,713,221 | 5,357 | — | |||||||||||||||||||||||||||
Total HFI at Redwood: | 2,398 | $ | 1,758,990 | $ | 5,357 | $ | — | |||||||||||||||||||||||
Held-for-Investment at Sequoia: | ||||||||||||||||||||||||||||||
ARM loans: | ||||||||||||||||||||||||||||||
$ | — | to | $250 | 3,133 | 0.38 | % | to | 5.16% | 2013-02 | - | 2035-11 | $ | 355,415 | $ | 10,661 | $ | 13,078 | |||||||||||||
$ | 251 | to | $500 | 858 | — | % | to | 5.63% | 2013-12 | - | 2036-05 | 296,425 | 9,620 | 15,345 | ||||||||||||||||
$ | 501 | to | $750 | 269 | 0.63 | % | to | 4.66% | 2014-05 | - | 2035-09 | 161,273 | 4,578 | 7,209 | ||||||||||||||||
$ | 751 | to | $1,000 | 135 | 0.38 | % | to | 2.38% | 2019-02 | - | 2035-07 | 118,983 | 3,586 | 8,473 | ||||||||||||||||
over | $1,000 | 109 | — | % | to | 2.63% | 2022-01 | - | 2036-05 | 169,492 | 1,341 | 14,718 | ||||||||||||||||||
4,504 | 1,101,588 | 29,786 | 58,823 | |||||||||||||||||||||||||||
Hybrid ARM loans: | ||||||||||||||||||||||||||||||
$ | — | to | $250 | 3 | 2.75 | % | to | 2.88% | 2033-09 | - | 2034-06 | 317 | — | — | ||||||||||||||||
$ | 251 | to | $500 | 20 | 2.63 | % | to | 2.88% | 2033-07 | - | 2034-12 | 7,523 | — | — | ||||||||||||||||
$ | 501 | to | $750 | 15 | 2.63 | % | to | 2.88% | 2033-08 | - | 2034-12 | 9,874 | 542 | — | ||||||||||||||||
$ | 751 | to | $1,000 | 2 | 2.75 | % | to | 2.75% | 2033-07 | - | 2033-08 | 1,547 | — | — | ||||||||||||||||
over | $1,000 | 1 | 2.75 | % | to | 2.75% | 2033-09 | - | 2033-09 | 1,566 | — | — | ||||||||||||||||||
41 | 20,827 | 542 | — | |||||||||||||||||||||||||||
Total HFI at Sequoia: | 4,545 | $ | 1,122,415 | $ | 30,328 | $ | 58,823 | |||||||||||||||||||||||
Held-for-Sale: | ||||||||||||||||||||||||||||||
ARM loans | ||||||||||||||||||||||||||||||
$ | 64 | to | $1,298 | 14 | 1.50 | % | to | 4.00% | 2032-11 | - | 2045-12 | $ | 5,258 | $ | — | $ | 415 | |||||||||||||
Hybrid ARM loans | ||||||||||||||||||||||||||||||
$ | 164 | to | $1,989 | 356 | 2.50 | % | to | 4.25% | 2037-06 | - | 2046-01 | 276,457 | 2,249 | — | ||||||||||||||||
Fixed loans | ||||||||||||||||||||||||||||||
$ | 30 | to | $2,332 | 1,402 | 2.75 | % | to | 5.25% | 2025-09 | - | 2046-01 | 809,803 | 2,097 | 1,437 | ||||||||||||||||
Total Held-for-Sale | 1,772 | $ | 1,091,518 | $ | 4,346 | $ | 1,852 |
(1) | Rate is net of servicing fee for consolidated loans for which we do not own the MSR. For borrowers whose current rate is less than the applicable servicing fee, the rate shown in the table above is zero. |
Years Ended December 31, | |||||||||||
(In Thousands) | 2016 | 2015 | 2014 | ||||||||
Balance at beginning of period | $ | — | $ | 21,338 | $ | 25,427 | |||||
Charge-offs, net | — | — | (4,966 | ) | |||||||
Provision for loan losses | — | — | 877 | ||||||||
Other adjustments (1) | — | (21,338 | ) | — | |||||||
Balance at End of Period | $ | — | $ | — | $ | 21,338 |
(1) | Upon adoption of ASU 2014-13 on January 1, 2015, we began to record loans held-for-investment at consolidated Sequoia entities at fair value. See Note 3 for further discussion. |
(In Thousands) | December 31, 2016 | December 31, 2015 | ||||||
Held-for-sale | ||||||||
At fair value | $ | — | $ | 39,141 | ||||
At lower of cost or fair value | 2,700 | — | ||||||
Held-for-investment | ||||||||
At fair value | — | 67,657 | ||||||
At amortized cost | — | 295,849 | ||||||
Total Commercial Loans | $ | 2,700 | $ | 402,647 |
(In Thousands) | December 31, 2016 | December 31, 2015 | ||||||
Principal balance | $ | — | $ | 307,047 | ||||
Unamortized discount, net | — | (4,096 | ) | |||||
Recorded investment | — | 302,951 | ||||||
Allowance for loan losses | — | (7,102 | ) | |||||
Carrying Value | $ | — | $ | 295,849 |
(In Thousands) | December 31, 2016 | December 31, 2015 | ||||||
Pass | $ | — | $ | 272,768 | ||||
Watch list | — | 34,279 | ||||||
Workout | — | — | ||||||
Total Commercial Loans Held-for-Investment | $ | — | $ | 307,047 |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Balance at beginning of period | $ | 7,102 | $ | 7,457 | $ | 7,373 | ||||||
Charge-offs, net | — | — | — | |||||||||
(Reversal of) provision for loan losses | (7,102 | ) | (355 | ) | 84 | |||||||
Balance at End of Period | $ | — | $ | 7,102 | $ | 7,457 |
(In Thousands) | December 31, 2016 | December 31, 2015 | ||||||
Principal balance | $ | — | $ | 307,047 | ||||
Recorded investment | — | 302,951 | ||||||
Related allowance | — | 7,102 |
(In Thousands) | December 31, 2016 | December 31, 2015 | ||||||
Trading | $ | 445,687 | $ | 404,011 | ||||
Available-for-sale | 572,752 | 829,245 | ||||||
Total Real Estate Securities | $ | 1,018,439 | $ | 1,233,256 |
(In Thousands) | December 31, 2016 | December 31, 2015 | ||||||
Senior Securities | ||||||||
Prime | $ | 32,230 | $ | 248,570 | ||||
Non-prime | 4,837 | 5,781 | ||||||
Total Senior Securities | 37,067 | 254,351 | ||||||
Subordinate Securities | ||||||||
Prime mezzanine | 243,451 | 136,140 | ||||||
Prime subordinate | 165,169 | 13,520 | ||||||
Total Subordinate Securities | 408,620 | 149,660 | ||||||
Total Trading Securities | $ | 445,687 | $ | 404,011 |
(In Thousands) | December 31, 2016 | December 31, 2015 | ||||||
Senior Securities | ||||||||
Prime | $ | 128,843 | $ | 210,993 | ||||
Non-prime | 7,703 | 68,258 | ||||||
Total Senior Securities | 136,546 | 279,251 | ||||||
Re-REMIC Securities | 85,479 | 165,064 | ||||||
Subordinate Securities | ||||||||
Prime mezzanine | 163,715 | 224,624 | ||||||
Prime subordinate | 187,012 | 160,306 | ||||||
Total Subordinate Securities | 350,727 | 384,930 | ||||||
Total AFS Securities | $ | 572,752 | $ | 829,245 |
December 31, 2016 | Senior | |||||||||||||||||||
(In Thousands) | Prime | Non-prime | Re-REMIC | Subordinate | Total | |||||||||||||||
Principal balance | $ | 139,736 | $ | 9,126 | $ | 95,608 | $ | 456,359 | $ | 700,829 | ||||||||||
Credit reserve | (4,174 | ) | (640 | ) | (6,857 | ) | (35,802 | ) | (47,473 | ) | ||||||||||
Unamortized discount, net | (40,379 | ) | (1,498 | ) | (19,613 | ) | (136,622 | ) | (198,112 | ) | ||||||||||
Amortized cost | 95,183 | 6,988 | 69,138 | 283,935 | 455,244 | |||||||||||||||
Gross unrealized gains | 35,589 | 715 | 16,341 | 68,032 | 120,677 | |||||||||||||||
Gross unrealized losses | (1,929 | ) | — | — | (1,240 | ) | (3,169 | ) | ||||||||||||
Carrying Value | $ | 128,843 | $ | 7,703 | $ | 85,479 | $ | 350,727 | $ | 572,752 |
December 31, 2015 | Senior | |||||||||||||||||||
(In Thousands) | Prime | Non-prime | Re-REMIC | Subordinate | Total | |||||||||||||||
Principal balance | $ | 217,605 | $ | 75,591 | $ | 189,782 | $ | 490,249 | $ | 973,227 | ||||||||||
Credit reserve | (1,305 | ) | (5,101 | ) | (10,332 | ) | (32,131 | ) | (48,869 | ) | ||||||||||
Unamortized discount, net | (22,079 | ) | (8,395 | ) | (71,670 | ) | (134,963 | ) | (237,107 | ) | ||||||||||
Amortized cost | 194,221 | 62,095 | 107,780 | 323,155 | 687,251 | |||||||||||||||
Gross unrealized gains | 20,263 | 6,249 | 57,284 | 63,205 | 147,001 | |||||||||||||||
Gross unrealized losses | (3,491 | ) | (86 | ) | — | (1,430 | ) | (5,007 | ) | |||||||||||
Carrying Value | $ | 210,993 | $ | 68,258 | $ | 165,064 | $ | 384,930 | $ | 829,245 |
Year Ended December 31, 2016 | Year Ended December 31, 2015 | |||||||||||||||
Credit Reserve | Unamortized Discount, Net | Credit Reserve | Unamortized Discount, Net | |||||||||||||
(In Thousands) | ||||||||||||||||
Beginning balance | $ | 48,869 | $ | 237,107 | $ | 70,067 | $ | 296,342 | ||||||||
Amortization of net discount | — | (26,253 | ) | — | (36,850 | ) | ||||||||||
Realized credit losses | (5,830 | ) | — | (8,535 | ) | — | ||||||||||
Acquisitions | 9,311 | 11,461 | 2,557 | 15,791 | ||||||||||||
Sales, calls, other | (4,968 | ) | (24,480 | ) | (7,296 | ) | (46,346 | ) | ||||||||
Impairments | 368 | — | — | 246 | ||||||||||||
Transfers to (release of) credit reserves, net | (277 | ) | 277 | (7,924 | ) | 7,924 | ||||||||||
Ending Balance | $ | 47,473 | $ | 198,112 | $ | 48,869 | $ | 237,107 |
Less Than 12 Consecutive Months | 12 Consecutive Months or Longer | |||||||||||||||||||||||
Amortized Cost | Unrealized Losses | Fair Value | Amortized Cost | Unrealized Losses | Fair Value | |||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||
December 31, 2016 | $ | 15,772 | $ | (330 | ) | $ | 15,442 | $ | 60,035 | $ | (2,839 | ) | $ | 57,196 | ||||||||||
December 31, 2015 | 87,718 | (1,972 | ) | 85,746 | 77,539 | (3,035 | ) | 74,504 |
December 31, 2016 | Range for Securities | ||||
Prepayment rates | 8 | % | - | 15% | |
Projected losses | — | % | - | 7% |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Balance at beginning of period | $ | 28,277 | $ | 33,849 | $ | 37,149 | ||||||
Additions | ||||||||||||
Initial credit impairments | 346 | 246 | 261 | |||||||||
Subsequent credit impairments | 8 | — | 70 | |||||||||
Reductions | ||||||||||||
Securities sold, or expected to sell | (261 | ) | (4,567 | ) | (922 | ) | ||||||
Securities with no outstanding principal at period end | (109 | ) | (1,251 | ) | (2,709 | ) | ||||||
Balance at End of Period | $ | 28,261 | $ | 28,277 | $ | 33,849 |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Gross realized gains - sales | $ | 23,598 | $ | 34,922 | $ | 15,030 | ||||||
Gross realized gains - calls | 1,210 | 2,167 | 1,600 | |||||||||
Gross realized losses - sales | (2,293 | ) | (608 | ) | (2,713 | ) | ||||||
Gross realized losses - calls | — | (112 | ) | — | ||||||||
Total Realized Gains on Sales and Calls of AFS Securities, net | $ | 22,515 | $ | 36,369 | $ | 13,917 |
December 31, 2016 | December 31, 2015 | |||||||||||||||
(In Thousands) | MSR Fair Value | Associated Principal | MSR Fair Value | Associated Principal | ||||||||||||
Mortgage Servicing Rights | ||||||||||||||||
Conforming Loans | $ | 58,523 | $ | 4,989,720 | $ | 133,838 | $ | 12,560,533 | ||||||||
Jumbo Loans | 60,003 | 5,467,169 | 58,138 | 5,705,939 | ||||||||||||
Total Mortgage Servicing Rights | $ | 118,526 | $ | 10,456,889 | $ | 191,976 | $ | 18,266,472 |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Balance at beginning of period | $ | 191,976 | $ | 139,293 | $ | 64,824 | ||||||
Additions | 25,362 | 95,281 | 95,550 | |||||||||
Sales | (62,440 | ) | (18,206 | ) | — | |||||||
Changes in fair value due to: | ||||||||||||
Changes in assumptions (1) | (14,512 | ) | (5,453 | ) | (12,467 | ) | ||||||
Other changes (2) | (21,860 | ) | (18,939 | ) | (8,614 | ) | ||||||
Balance at End of Period | $ | 118,526 | $ | 191,976 | $ | 139,293 |
(1) | Primarily reflects changes in prepayment assumptions due to changes in market interest rates. |
(2) | Represents changes due to receipt of expected cash flows. |
Years Ended December 31, | ||||||||||||||||
(In Thousands) | 2016 | 2015 | ||||||||||||||
MSR Fair Value | Associated Principal | MSR Fair Value | Associated Principal | |||||||||||||
Jumbo MSR additions: | ||||||||||||||||
From securitization | $ | 6,451 | $ | 939,861 | $ | 8,202 | $ | 882,860 | ||||||||
From loan sales | 177 | 26,844 | 352 | 33,022 | ||||||||||||
Total jumbo MSR additions | 6,628 | 966,705 | 8,554 | 915,882 | ||||||||||||
Conforming MSR additions: | ||||||||||||||||
From loan sales | 3,380 | 316,290 | 55,954 | 5,251,537 | ||||||||||||
From purchases | 15,354 | 1,643,577 | 30,773 | 2,952,345 | ||||||||||||
Total conforming MSR additions | 18,734 | 1,959,867 | 86,727 | 8,203,882 | ||||||||||||
Total MSR Additions | $ | 25,362 | $ | 2,926,572 | $ | 95,281 | $ | 9,119,764 |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Servicing income | ||||||||||||
Income | $ | 41,152 | $ | 38,964 | $ | 19,362 | ||||||
Cost of sub-servicer | (6,281 | ) | (5,079 | ) | (1,834 | ) | ||||||
Net servicing income | 34,871 | 33,885 | 17,528 | |||||||||
Market valuation changes of MSRs | (36,372 | ) | (24,392 | ) | (21,081 | ) | ||||||
Market valuation changes of associated derivatives (1) | 15,584 | (12,708 | ) | — | ||||||||
MSR reversal of (provision for) repurchases | 270 | (707 | ) | (708 | ) | |||||||
MSR Income (Loss), Net | $ | 14,353 | $ | (3,922 | ) | $ | (4,261 | ) |
(1) | In the second quarter of 2015, we began to identify specific derivatives used to hedge the exposure of our MSRs to changes in market interest rates. See Note 2 for additional detail. |
December 31, 2016 | December 31, 2015 | |||||||||||||||
Fair Value | Notional Amount | Fair Value | Notional Amount | |||||||||||||
(In Thousands) | ||||||||||||||||
Assets - Risk Management Derivatives | ||||||||||||||||
Interest rate swaps | $ | 19,859 | $ | 1,009,000 | $ | 2,590 | $ | 658,000 | ||||||||
TBAs | 8,300 | 850,000 | 2,734 | 1,028,500 | ||||||||||||
Swaptions | 5,121 | 345,000 | 5,191 | 925,000 | ||||||||||||
Credit default index swaps | — | — | 1,207 | 25,000 | ||||||||||||
Assets - Other Derivatives | ||||||||||||||||
Loan purchase commitments | 3,315 | 352,981 | 4,671 | 764,161 | ||||||||||||
Total Assets | $ | 36,595 | $ | 2,556,981 | $ | 16,393 | $ | 3,400,661 | ||||||||
Liabilities - Cash Flow Hedges | ||||||||||||||||
Interest rate swaps | $ | (44,822 | ) | $ | 139,500 | $ | (48,232 | ) | $ | 139,500 | ||||||
Liabilities - Risk Management Derivatives | ||||||||||||||||
Interest rate swaps | (12,097 | ) | 1,101,500 | (10,134 | ) | 1,039,500 | ||||||||||
TBAs | (4,681 | ) | 510,000 | (2,519 | ) | 1,450,500 | ||||||||||
Futures | (928 | ) | 87,500 | (445 | ) | 78,000 | ||||||||||
Liabilities - Other Derivatives | ||||||||||||||||
Loan purchase commitments | (3,801 | ) | 584,862 | (1,464 | ) | 375,815 | ||||||||||
Total Liabilities | $ | (66,329 | ) | $ | 2,423,362 | $ | (62,794 | ) | $ | 3,083,315 | ||||||
Total Derivative Financial Instruments, Net | $ | (29,734 | ) | $ | 4,980,343 | $ | (46,401 | ) | $ | 6,483,976 |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Net interest expense on cash flows hedges | $ | (5,317 | ) | $ | (5,883 | ) | $ | (5,951 | ) | |||
Realized net losses reclassified from other comprehensive income | (72 | ) | (95 | ) | (164 | ) | ||||||
Total Interest Expense | $ | (5,389 | ) | $ | (5,978 | ) | $ | (6,115 | ) |
(In Thousands) | December 31, 2016 | December 31, 2015 | ||||||
Margin receivable | $ | 68,038 | $ | 83,191 | ||||
FHLBC stock | 43,393 | 34,437 | ||||||
Pledged collateral | 42,875 | 53,600 | ||||||
REO | 5,533 | 4,896 | ||||||
Guarantee asset | 4,092 | 5,697 | ||||||
Fixed assets and leasehold improvements (1) | 2,750 | 4,117 | ||||||
Prepaid expenses | 1,639 | 3,640 | ||||||
Investment receivable | 1,068 | 3,870 | ||||||
Other | 9,857 | 4,438 | ||||||
Total Other Assets | $ | 179,245 | $ | 197,886 |
(1) | Fixed assets and leasehold improvements have a basis of $5 million and accumulated depreciation of $3 million at December 31, 2016. |
(In Thousands) | December 31, 2016 | December 31, 2015 | ||||||
Guarantee obligations | $ | 21,668 | $ | 22,704 | ||||
Accrued compensation | 18,830 | 17,527 | ||||||
Margin payable | 12,783 | 6,415 | ||||||
Residential loan and MSR repurchase reserve | 5,432 | 6,403 | ||||||
Accrued operating expenses | 4,493 | 1,845 | ||||||
Restructuring liabilities | 2,297 | — | ||||||
Legal reserve | 2,000 | 2,000 | ||||||
Current accounts payable | 1,151 | 4,764 | ||||||
Deferred tax liability | 898 | — | ||||||
Other | 2,876 | 8,239 | ||||||
Total Other Liabilities | $ | 72,428 | $ | 69,897 |
Year Ended December 31, 2016 | ||||||||||||
(In Thousands) | Termination Benefits | Contract Termination Costs | Total Restructuring Liabilities | |||||||||
Beginning balance | $ | — | $ | — | $ | — | ||||||
Costs incurred and expensed | 8,746 | 1,655 | 10,401 | |||||||||
Costs paid/settled | (3,019 | ) | (1,599 | ) | (4,618 | ) | ||||||
Other costs (1) | (3,486 | ) | — | (3,486 | ) | |||||||
Ending Balance | $ | 2,241 | $ | 56 | $ | 2,297 |
(1) | Amount represents equity compensation expense recorded during the year ended December 31, 2016 related to equity awards that were accelerated, and have been distributed or will be distributed in future periods. |
December 31, 2016 | ||||||||||||||||||
(Dollars in Thousands) | Number of Facilities | Outstanding Balance | Limit | Weighted Average Interest Rate | Maturity | Weighted Average Days Until Maturity | ||||||||||||
Residential loan warehouse | 4 | $ | 485,544 | $ | 1,325,000 | 2.40 | % | 1/2017-12/2017 | 206 | |||||||||
Real estate securities repo | 7 | 305,995 | — | 1.91 | % | 1/2017-3/2017 | 24 | |||||||||||
Total | 11 | $ | 791,539 |
December 31, 2015 | ||||||||||||||||||
(Dollars in Thousands) | Number of Facilities | Outstanding Balance | Limit | Weighted Average Interest Rate | Maturity | Weighted Average Days Until Maturity | ||||||||||||
Residential loan warehouse | 4 | $ | 950,022 | $ | 1,400,000 | 1.90 | % | 2/2016-12/2016 | 182 | |||||||||
FHLBC (1) | 1 | 137,622 | — | 0.21 | % | 7/2016-11/2016 | 204 | |||||||||||
Commercial loan warehouse | 2 | 73,718 | 300,000 | 4.13 | % | 4/2016-10/2016 | 265 | |||||||||||
Real estate securities repo | 9 | 693,641 | — | 1.47 | % | 1/2016-3/2016 | 24 | |||||||||||
Total | 16 | $ | 1,855,003 |
(1) | Amount represents the portion of our borrowings from the FHLBC that were due within 12 months at December 31, 2015. See Note 14 for additional information on our FHLB-member subsidiary's borrowing agreement with the FHLBC. |
December 31, 2016 | ||||||||||||||||
(In Thousands) | Within 30 days | 31 to 90 days | Over 90 days | Total | ||||||||||||
Collateral Type | ||||||||||||||||
Held-for sale residential loans | $ | 109,152 | $ | 67,038 | $ | 309,354 | $ | 485,544 | ||||||||
Real estate securities | 235,945 | 70,050 | — | 305,995 | ||||||||||||
Total Short-Term Debt | $ | 345,097 | $ | 137,088 | $ | 309,354 | $ | 791,539 |
December 31, 2016 | December 31, 2015 | |||||||||||||||||||||||
(Dollars in Thousands) | Sequoia | Commercial Securitization | Total | Sequoia | Commercial Securitization | Total | ||||||||||||||||||
Certificates with principal balance | $ | 880,517 | $ | — | $ | 880,517 | $ | 1,108,785 | $ | 53,137 | $ | 1,161,922 | ||||||||||||
Interest-only certificates | 3,774 | — | 3,774 | 4,672 | — | 4,672 | ||||||||||||||||||
Market valuation adjustments | (110,829 | ) | — | (110,829 | ) | (116,637 | ) | — | (116,637 | ) | ||||||||||||||
Total ABS issued | 773,462 | — | 773,462 | 996,820 | 53,137 | 1,049,957 | ||||||||||||||||||
Deferred debt issuance costs | — | — | — | — | (542 | ) | (542 | ) | ||||||||||||||||
ABS Issued, Net (1) | $ | 773,462 | $ | — | $ | 773,462 | $ | 996,820 | $ | 52,595 | $ | 1,049,415 | ||||||||||||
Range of weighted average interest rates, by series | 0.15% to 1.95% | — | % | 0.41% to 2.21% | 5.62 | % | ||||||||||||||||||
Stated maturities | 2024 - 2036 | N/A | 2017 - 2037 | 2018 | ||||||||||||||||||||
Number of series | 20 | — | 21 | 1 |
(1) | Upon adoption of ASU 2015-03 on January 1, 2016, we began to present ABS issued, net of deferred debt issuance costs. See Note 3 for further discussion. |
(In Thousands) | December 31, 2016 | December 31, 2015 | ||||||
Sequoia | $ | 518 | $ | 555 | ||||
Commercial Securitization | — | 249 | ||||||
Total Accrued Interest Payable on ABS Issued | $ | 518 | $ | 804 |
December 31, 2016 | December 31, 2015 | |||||||||||||||||||||||
(In Thousands) | Sequoia | Commercial Securitization | Total | Sequoia | Commercial Securitization | Total | ||||||||||||||||||
Residential loans | $ | 791,636 | $ | — | $ | 791,636 | $ | 1,021,870 | $ | — | $ | 1,021,870 | ||||||||||||
Commercial loans | — | — | — | — | 166,016 | 166,016 | ||||||||||||||||||
Restricted cash | 148 | — | 148 | 228 | 137 | 365 | ||||||||||||||||||
Accrued interest receivable | 1,000 | — | 1,000 | 1,131 | 1,297 | 2,428 | ||||||||||||||||||
REO | 5,533 | — | 5,533 | 4,895 | — | 4,895 | ||||||||||||||||||
Total Collateral for ABS Issued | $ | 798,317 | $ | — | $ | 798,317 | $ | 1,028,124 | $ | 167,450 | $ | 1,195,574 |
(In Thousands) | December 31, 2016 | |||
2024 | $ | 470,171 | ||
2025 | 887,639 | |||
2026 | 642,189 | |||
Total FHLBC Borrowings | $ | 1,999,999 |
(In Thousands) | December 31, 2016 | |||
2017 | $ | 2,301 | ||
2018 | 1,268 | |||
2019 | 642 | |||
2020 | 581 | |||
2021 | 48 | |||
2022 and thereafter | — | |||
Total Lease Commitments | $ | 4,840 |
Years Ended December 31, | ||||||||||||||||
2016 | 2015 | |||||||||||||||
(In Thousands) | Net Unrealized Gains on Available-for-Sale Securities | Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | Net Unrealized Gains on Available-for-Sale Securities | Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||||||||||
Balance at beginning of period | $ | 139,356 | $ | (47,363 | ) | $ | 186,737 | $ | (46,049 | ) | ||||||
Other comprehensive income (loss) before reclassifications (1) | (2,316 | ) | 3,271 | (17,955 | ) | (1,409 | ) | |||||||||
Amounts reclassified from other accumulated comprehensive income | (21,167 | ) | 72 | (29,426 | ) | 95 | ||||||||||
Net current-period other comprehensive income (loss) | (23,483 | ) | 3,343 | (47,381 | ) | (1,314 | ) | |||||||||
Balance at End of Period | $ | 115,873 | $ | (44,020 | ) | $ | 139,356 | $ | (47,363 | ) |
(1) | Amounts presented for unrealized gains (losses) on available-for-sale securities are net of tax benefit (provision) of $1 million and $(0.4) million for the years ended December 31, 2016 and 2015, respectively. |
Amount Reclassified From Accumulated Other Comprehensive Income | ||||||||||
Affected Line Item in the | Years Ended December 31, | |||||||||
(In Thousands) | Income Statement | 2016 | 2015 | |||||||
Net Realized (Gain) Loss on AFS Securities | ||||||||||
Other than temporary impairment (1) | Investment fair value changes, net | $ | 368 | $ | 246 | |||||
Gain on sale of AFS securities | Realized gains, net | (21,535 | ) | (29,672 | ) | |||||
$ | (21,167 | ) | $ | (29,426 | ) | |||||
Net Realized Loss on Interest Rate Agreements Designated as Cash Flow Hedges | ||||||||||
Amortization of deferred loss | Interest expense | $ | 72 | $ | 95 | |||||
$ | 72 | $ | 95 |
(1) | For the year ended December 31, 2016, other-than-temporary impairments were $3 million, of which $0.4 million were recognized through the consolidated statements of income and $3 million were recognized in Accumulated other comprehensive income, a component of our consolidated balance sheet. For the year ended December 31, 2015, other-than-temporary impairments were $0.4 million, of which $0.2 million were recognized through our consolidated statements of income, and $0.2 million were recognized in Accumulated other comprehensive income, a component of our consolidated balance sheet. |
Years Ended December 31, | ||||||||||||
(In Thousands, except Share Data) | 2016 | 2015 | 2014 | |||||||||
Basic Earnings per Common Share: | ||||||||||||
Net income attributable to Redwood | $ | 131,252 | $ | 102,088 | $ | 100,569 | ||||||
Less: Dividends and undistributed earnings allocated to participating securities | (3,742 | ) | (2,806 | ) | (2,612 | ) | ||||||
Net income allocated to common shareholders | $ | 127,510 | $ | 99,282 | $ | 97,957 | ||||||
Basic weighted average common shares outstanding | 76,747,047 | 82,945,103 | 82,837,369 | |||||||||
Basic Earnings per Common Share | $ | 1.66 | $ | 1.20 | $ | 1.18 | ||||||
Diluted Earnings per Common Share: | ||||||||||||
Net income attributable to Redwood | $ | 131,252 | $ | 102,088 | $ | 100,569 | ||||||
Less: Dividends and undistributed earnings allocated to participating securities | (4,035 | ) | (2,677 | ) | (2,524 | ) | ||||||
Add back: Interest expense on convertible notes for the period, net of tax | 23,862 | — | — | |||||||||
Net income allocated to common shareholders | $ | 151,079 | $ | 99,411 | $ | 98,045 | ||||||
Weighted average common shares outstanding | 76,747,047 | 82,945,103 | 82,837,369 | |||||||||
Net effect of dilutive equity awards | 28,435 | 1,573,292 | 2,261,210 | |||||||||
Net effect of assumed convertible notes conversion to common shares | 21,133,608 | — | — | |||||||||
Diluted weighted average common shares outstanding | 97,909,090 | 84,518,395 | 85,098,579 | |||||||||
Diluted Earnings per Common Share | $ | 1.54 | $ | 1.18 | $ | 1.15 |
Year Ended December 31, 2016 | ||||||||||||||||||||
(In Thousands) | Restricted Stock | Deferred Stock Units | Performance Stock Units | Employee Stock Purchase Plan | Total | |||||||||||||||
Unrecognized compensation cost at beginning of period | $ | 2,393 | $ | 14,392 | $ | 6,823 | $ | — | $ | 23,608 | ||||||||||
Equity grants | 1,754 | 7,416 | 2,576 | 124 | 11,870 | |||||||||||||||
Equity grant forfeitures | (1,380 | ) | (1,167 | ) | (2,209 | ) | — | (4,756 | ) | |||||||||||
Equity compensation expense | (676 | ) | (9,135 | ) | (2,641 | ) | (124 | ) | (12,576 | ) | ||||||||||
Unrecognized Compensation Cost at End of Period | $ | 2,091 | $ | 11,506 | $ | 4,549 | $ | — | $ | 18,146 |
Years Ended December 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | ||||||||||||||||||
Shares | Weighted Average Grant Date Fair Market Value | Shares | Weighted Average Grant Date Fair Market Value | Shares | Weighted Average Grant Date Fair Market Value | |||||||||||||||
Outstanding at beginning of period | 187,180 | $ | 18.22 | 109,464 | $ | 15.97 | 166,941 | $ | 15.01 | |||||||||||
Granted | 144,056 | 11.89 | 141,069 | 19.03 | 2,574 | 19.42 | ||||||||||||||
Vested | (50,107 | ) | 17.28 | (42,675 | ) | 14.87 | (44,209 | ) | 13.44 | |||||||||||
Forfeited | (76,614 | ) | 18.01 | (20,678 | ) | 18.74 | (15,842 | ) | 13.45 | |||||||||||
Outstanding at End of Period | 204,515 | $ | 14.27 | 187,180 | $ | 18.22 | 109,464 | $ | 15.97 |
Years Ended December 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | ||||||||||||||||||
Units | Weighted Average Grant Date Fair Market Value | Units | Weighted Average Grant Date Fair Market Value | Units | Weighted Average Grant Date Fair Market Value | |||||||||||||||
Outstanding at beginning of period | 2,407,154 | $ | 16.45 | 2,168,824 | $ | 16.20 | 2,266,473 | $ | 15.41 | |||||||||||
Granted | 565,061 | 13.33 | 583,958 | 16.11 | 350,769 | 19.62 | ||||||||||||||
Distributions | (1,060,459 | ) | 14.64 | (335,461 | ) | 14.20 | (440,548 | ) | 14.82 | |||||||||||
Forfeitures | (62,894 | ) | 18.66 | (10,167 | ) | 16.60 | (7,870 | ) | 19.06 | |||||||||||
Balance at End of Period | 1,848,862 | $ | 16.46 | 2,407,154 | $ | 16.45 | 2,168,824 | $ | 16.20 |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Balance at beginning of period | $ | 18 | $ | 3 | $ | 3 | ||||||
Employee purchases | 290 | 475 | 494 | |||||||||
Cost of common stock issued | (305 | ) | (460 | ) | (494 | ) | ||||||
Balance at End of Period | $ | 3 | $ | 18 | $ | 3 |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Balance at beginning of period | $ | 2,095 | $ | 2,049 | $ | 1,882 | ||||||
New deferrals | 558 | 600 | 575 | |||||||||
Accrued interest | 53 | 61 | 70 | |||||||||
Withdrawals | (618 | ) | (615 | ) | (478 | ) | ||||||
Balance at End of Period | $ | 2,088 | $ | 2,095 | $ | 2,049 |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Residential Mortgage Banking Activities, Net: | ||||||||||||
Changes in fair value of: | ||||||||||||
Residential loans, at fair value (1) | $ | 31,399 | $ | 53,946 | $ | 65,202 | ||||||
Sequoia securities | 1,455 | (15,261 | ) | (23,839 | ) | |||||||
Risk management derivatives (2) | 5,696 | (34,457 | ) | (23,277 | ) | |||||||
Other income (expense), net (3) | 2,203 | 4,040 | 3,468 | |||||||||
Total residential mortgage banking activities, net: | 40,753 | 8,268 | 21,554 | |||||||||
Commercial Mortgage Banking Activities, Net: | ||||||||||||
Changes in fair value of: | ||||||||||||
Commercial loans, at fair value | 433 | 10,265 | 20,789 | |||||||||
Risk management derivatives (2) | (2,538 | ) | (8,011 | ) | (7,890 | ) | ||||||
Other fee income | 43 | 450 | 541 | |||||||||
Total commercial mortgage banking activities, net: | (2,062 | ) | 2,704 | 13,440 | ||||||||
Mortgage Banking Activities, Net | $ | 38,691 | $ | 10,972 | $ | 34,994 |
(1) | Includes changes in fair value for associated loan purchase and forward sale commitments. |
(2) | Represents market valuation changes of derivatives that were used to manage risks associated with our accumulation of residential and commercial loans. |
(3) | Amounts in this line item include other fee income from loan acquisitions and the provision for repurchases expense, presented net. |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Investment Fair Value Changes, Net | ||||||||||||
Changes in fair value of: | ||||||||||||
Residential loans held-for-investment, at Redwood | $ | (23,102 | ) | $ | (6,337 | ) | $ | (697 | ) | |||
Trading securities | 9,666 | (2,019 | ) | (358 | ) | |||||||
Net investments in consolidated Sequoia entities | (4,200 | ) | (1,192 | ) | (894 | ) | ||||||
Risk sharing investments | (1,151 | ) | (1,886 | ) | 104 | |||||||
Risk management derivatives | (9,112 | ) | (9,677 | ) | (7,792 | ) | ||||||
Valuation adjustments on commercial loans held-for-sale | (307 | ) | — | — | ||||||||
Impairments on AFS securities | (368 | ) | (246 | ) | (565 | ) | ||||||
Investment Fair Value Changes, Net | $ | (28,574 | ) | $ | (21,357 | ) | $ | (10,202 | ) |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Fixed compensation expense | $ | 24,332 | $ | 35,093 | $ | 29,057 | ||||||
Variable compensation expense | 16,581 | 12,606 | 14,863 | |||||||||
Equity compensation expense | 9,093 | 11,921 | 9,750 | |||||||||
Total compensation expense | 50,006 | 59,620 | 53,670 | |||||||||
Systems and consulting | 9,037 | 10,212 | 11,654 | |||||||||
Loan acquisition costs (1) | 5,744 | 10,326 | 8,207 | |||||||||
Office costs | 4,550 | 5,270 | 5,011 | |||||||||
Accounting and legal | 3,658 | 4,837 | 5,244 | |||||||||
Corporate costs | 2,106 | 2,049 | 2,237 | |||||||||
Other operating expenses | 3,284 | 5,102 | 4,100 | |||||||||
Operating expenses before restructuring charges | 78,385 | 97,416 | 90,123 | |||||||||
Restructuring charges (2) | 10,401 | — | — | |||||||||
Total Operating Expenses | $ | 88,786 | $ | 97,416 | $ | 90,123 |
(1) | Loan acquisition costs primarily includes underwriting and due diligence costs related to the acquisition of residential loans held-for-sale at fair value. |
(2) | For the year ended December 31, 2016, restructuring charges included $5 million of fixed compensation expense and $3 million of equity compensation expense related to one-time termination benefits, as well as $2 million of other contract termination costs, associated with the restructuring of our conforming and commercial mortgage banking operations and related charges associated with the departure of Redwood's President announced in the first quarter of 2016. See Note 11 for further discussion on restructuring charges. |
(In Thousands) | December 31, 2016 | December 31, 2015 | ||||||
Deferred Tax Assets | ||||||||
Net operating loss carryforward – state | $ | 89,350 | $ | 95,972 | ||||
Net capital loss carryforward – state | 15,346 | 22,603 | ||||||
Net operating loss carryforward – federal | 9,537 | 32,929 | ||||||
Net capital loss carryforward – federal | 2,283 | 7,971 | ||||||
Real estate assets | 5,601 | 5,144 | ||||||
Interest rate agreements | — | 1,472 | ||||||
Allowances and accruals | 3,059 | 3,458 | ||||||
Other | 2,192 | 513 | ||||||
Total Deferred Tax Assets | 127,368 | 170,062 | ||||||
Deferred Tax Liabilities | ||||||||
Mortgage Servicing Rights | (22,531 | ) | (50,630 | ) | ||||
Interest rate agreements | (2,167 | ) | — | |||||
Tax effect of unrealized gains – OCI | (1,636 | ) | (2,638 | ) | ||||
Total Deferred Tax Liabilities | (26,334 | ) | (53,268 | ) | ||||
Valuation allowance | (101,932 | ) | (116,794 | ) | ||||
Total Deferred Tax Asset (Liability), net of Valuation Allowance | $ | (898 | ) | $ | — |
Years Ended December 31, | ||||||||||||
(In Thousands) | 2016 | 2015 | 2014 | |||||||||
Current Provision for Income Taxes | ||||||||||||
Federal | $ | 1,477 | $ | 144 | $ | 24 | ||||||
State | 331 | 167 | 17 | |||||||||
Total Current Provision for Income Taxes | 1,808 | 311 | 41 | |||||||||
Deferred Provision for Income Taxes | ||||||||||||
Federal | 1,910 | (10,198 | ) | 703 | ||||||||
State | (10 | ) | (459 | ) | — | |||||||
Total Deferred Provision for (Benefit from) Income Taxes | 1,900 | (10,657 | ) | 703 | ||||||||
Total Provision for Income Taxes | $ | 3,708 | $ | (10,346 | ) | $ | 744 |
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||
Federal statutory rate | 34.0 | % | 34.0 | % | 34.0 | % | |||
State statutory rate, net of Federal tax effect | 7.2 | % | 7.2 | % | 7.2 | % | |||
Differences in taxable (loss) income from GAAP income | (1.0 | )% | (20.3 | )% | (14.5 | )% | |||
Change in valuation allowance | (11.2 | )% | 6.1 | % | (0.1 | )% | |||
Dividends paid deduction | (26.3 | )% | (38.3 | )% | (25.9 | )% | |||
Effective Tax Rate | 2.7 | % | (11.3 | )% | 0.7 | % |
Year Ended December 31, 2016 | ||||||||||||||||||||
(In Thousands) | Residential Mortgage Banking | Residential Investments | Commercial | Corporate/ Other | Total | |||||||||||||||
Interest income | $ | 33,661 | $ | 160,174 | $ | 32,780 | $ | 19,740 | $ | 246,355 | ||||||||||
Interest expense | (14,191 | ) | (18,394 | ) | (5,001 | ) | (50,942 | ) | (88,528 | ) | ||||||||||
Net interest income (loss) | 19,470 | 141,780 | 27,779 | (31,202 | ) | 157,827 | ||||||||||||||
Reversal of provision for loan losses | — | — | 7,102 | — | 7,102 | |||||||||||||||
Non-interest income | ||||||||||||||||||||
Mortgage banking activities, net | 40,753 | — | (2,062 | ) | — | 38,691 | ||||||||||||||
MSR income (loss), net | — | 14,353 | — | — | 14,353 | |||||||||||||||
Investment fair value changes, net | — | (26,945 | ) | 2,578 | (4,207 | ) | (28,574 | ) | ||||||||||||
Other income | — | 6,070 | 268 | — | 6,338 | |||||||||||||||
Realized gains, net | — | 22,516 | 5,201 | 292 | 28,009 | |||||||||||||||
Total non-interest income, net | 40,753 | 15,994 | 5,985 | (3,915 | ) | 58,817 | ||||||||||||||
Direct operating expenses (1) | (23,252 | ) | (9,042 | ) | (2,731 | ) | (53,761 | ) | (88,786 | ) | ||||||||||
Provision for income taxes | (1,860 | ) | (1,848 | ) | — | — | (3,708 | ) | ||||||||||||
Segment Contribution | $ | 35,111 | $ | 146,884 | $ | 38,135 | $ | (88,878 | ) | |||||||||||
Net Income | $ | 131,252 | ||||||||||||||||||
Non-cash amortization income (expense) | $ | (130 | ) | $ | 29,830 | $ | (24 | ) | $ | (3,972 | ) | $ | 25,704 |
Year Ended December 31, 2015 | ||||||||||||||||||||
(In Thousands) | Residential Mortgage Banking | Residential Investments | Commercial | Corporate/ Other | Total | |||||||||||||||
Interest income | $ | 52,260 | $ | 135,395 | $ | 46,933 | $ | 24,844 | $ | 259,432 | ||||||||||
Interest expense | (17,207 | ) | (11,204 | ) | (13,809 | ) | (53,663 | ) | (95,883 | ) | ||||||||||
Net interest income (loss) | 35,053 | 124,191 | 33,124 | (28,819 | ) | 163,549 | ||||||||||||||
Reversal of provision for loan losses | — | — | 355 | — | 355 | |||||||||||||||
Non-interest income | ||||||||||||||||||||
Mortgage banking activities, net | 8,268 | — | 2,704 | — | 10,972 | |||||||||||||||
MSR income (loss), net | — | (3,922 | ) | — | — | (3,922 | ) | |||||||||||||
Investment fair value changes, net | — | (20,089 | ) | — | (1,268 | ) | (21,357 | ) | ||||||||||||
Other income | — | 3,192 | — | — | 3,192 | |||||||||||||||
Realized gains, net | — | 36,369 | — | — | 36,369 | |||||||||||||||
Total non-interest income, net | 8,268 | 15,550 | 2,704 | (1,268 | ) | 25,254 | ||||||||||||||
Direct operating expenses | (43,182 | ) | (4,346 | ) | (11,331 | ) | (38,557 | ) | (97,416 | ) | ||||||||||
Benefit from income taxes | 4,169 | 847 | 1,452 | 3,878 | 10,346 | |||||||||||||||
Segment Contribution | $ | 4,308 | $ | 136,242 | $ | 26,304 | $ | (64,766 | ) | |||||||||||
Net Income | $ | 102,088 | ||||||||||||||||||
Non-cash amortization income (expense) | $ | (186 | ) | $ | 36,850 | $ | (267 | ) | $ | (3,994 | ) | $ | 32,403 | |||||||
Hedging allocations | 1,120 | (1,070 | ) | — | (50 | ) | — |
Year Ended December 31, 2014 | ||||||||||||||||||||
(In Thousands) | Residential Mortgage Banking | Residential Investments | Commercial | Corporate/ Other | Total | |||||||||||||||
Interest income | $ | 58,272 | $ | 110,433 | $ | 47,567 | $ | 25,798 | $ | 242,070 | ||||||||||
Interest expense | (12,776 | ) | (11,848 | ) | (15,836 | ) | (47,003 | ) | (87,463 | ) | ||||||||||
Net interest income (loss) | 45,496 | 98,585 | 31,731 | (21,205 | ) | 154,607 | ||||||||||||||
Provision for loan losses | — | — | (84 | ) | (877 | ) | (961 | ) | ||||||||||||
Non-interest income | ||||||||||||||||||||
Mortgage banking activities, net | 21,554 | — | 13,440 | — | 34,994 | |||||||||||||||
MSR income (loss), net | — | (4,261 | ) | — | — | (4,261 | ) | |||||||||||||
Investment fair value changes, net | — | (9,178 | ) | — | (1,024 | ) | (10,202 | ) | ||||||||||||
Other income | — | 181 | — | 1,600 | 1,781 | |||||||||||||||
Realized gains, net | — | 13,777 | — | 1,701 | 15,478 | |||||||||||||||
Total non-interest income, net | 21,554 | 519 | 13,440 | 2,277 | 37,790 | |||||||||||||||
Direct operating expenses | (37,664 | ) | (3,681 | ) | (11,324 | ) | (37,454 | ) | (90,123 | ) | ||||||||||
(Provision for) benefit from income taxes | (1,774 | ) | 1,340 | (234 | ) | (76 | ) | (744 | ) | |||||||||||
Segment Contribution | $ | 27,612 | $ | 96,763 | $ | 33,529 | $ | (57,335 | ) | |||||||||||
Net Income | $ | 100,569 | ||||||||||||||||||
Non-cash amortization income (expense) | $ | (181 | ) | $ | 42,784 | $ | (673 | ) | $ | (8,232 | ) | $ | 33,698 |
(1) | For the year ended December 31, 2016, charges associated with the restructuring of our conforming residential mortgage loan operations and commercial operations, included in the direct operating expense line item, are presented under the Corporate/Other column. See Note 11 for further discussion of these restructuring charges. |
Years Ended December 31, | ||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||
(In Thousands) | Legacy Consolidated VIEs (1) | Other | Total | Legacy Consolidated VIEs (1) | Other | Total | Legacy Consolidated VIEs (1) | Other | Total | |||||||||||||||||||||||||||
Interest income | $ | 19,537 | $ | 203 | $ | 19,740 | $ | 24,814 | $ | 30 | $ | 24,844 | $ | 25,786 | $ | 12 | $ | 25,798 | ||||||||||||||||||
Interest expense | (13,103 | ) | (37,839 | ) | (50,942 | ) | (15,646 | ) | (38,017 | ) | (53,663 | ) | (20,844 | ) | (26,159 | ) | (47,003 | ) | ||||||||||||||||||
Net interest income (loss) | 6,434 | (37,636 | ) | (31,202 | ) | 9,168 | (37,987 | ) | (28,819 | ) | 4,942 | (26,147 | ) | (21,205 | ) | |||||||||||||||||||||
Provision for loan losses | — | — | — | — | — | — | (877 | ) | — | (877 | ) | |||||||||||||||||||||||||
Non-interest income | ||||||||||||||||||||||||||||||||||||
Investment fair value changes, net | (4,200 | ) | (7 | ) | (4,207 | ) | (1,192 | ) | (76 | ) | (1,268 | ) | (894 | ) | (130 | ) | (1,024 | ) | ||||||||||||||||||
Other income | — | — | — | — | — | — | — | 1,600 | 1,600 | |||||||||||||||||||||||||||
Realized gains, net | — | 292 | 292 | — | — | — | 1,701 | — | 1,701 | |||||||||||||||||||||||||||
Total non-interest income (loss), net | (4,200 | ) | 285 | (3,915 | ) | (1,192 | ) | (76 | ) | (1,268 | ) | 807 | 1,470 | 2,277 | ||||||||||||||||||||||
Direct operating expenses | — | (53,761 | ) | (53,761 | ) | — | (38,557 | ) | (38,557 | ) | (165 | ) | (37,289 | ) | (37,454 | ) | ||||||||||||||||||||
(Provision for) benefit from income taxes | — | — | — | — | 3,878 | 3,878 | — | (76 | ) | (76 | ) | |||||||||||||||||||||||||
Total | $ | 2,234 | $ | (91,112 | ) | $ | (88,878 | ) | $ | 7,976 | $ | (72,742 | ) | $ | (64,766 | ) | $ | 4,707 | $ | (62,042 | ) | $ | (57,335 | ) |
(1) | Legacy consolidated VIEs represent legacy Sequoia entities that are consolidated for GAAP financial reporting purposes. See Note 4 for further discussion on VIEs. |
(In Thousands) | Residential Mortgage Banking | Residential Investments | Commercial | Corporate/ Other | Total | |||||||||||||||
December 31, 2016 | ||||||||||||||||||||
Residential loans | $ | 835,399 | $ | 2,261,016 | $ | — | $ | 791,636 | $ | 3,888,051 | ||||||||||
Commercial loans | — | — | 2,700 | — | 2,700 | |||||||||||||||
Real estate securities | — | 926,669 | 91,770 | — | 1,018,439 | |||||||||||||||
Mortgage servicing rights | — | 118,526 | — | — | 118,526 | |||||||||||||||
Total assets | 866,356 | 3,518,518 | 97,017 | 1,001,586 | 5,483,477 | |||||||||||||||
December 31, 2015 | ||||||||||||||||||||
Residential loans | $ | 1,115,738 | $ | 1,791,195 | $ | — | $ | 1,021,870 | $ | 3,928,803 | ||||||||||
Commercial loans | — | — | 402,647 | — | 402,647 | |||||||||||||||
Real estate securities | 197,007 | 1,028,171 | 8,078 | — | 1,233,256 | |||||||||||||||
Mortgage servicing rights | — | 191,976 | — | — | 191,976 | |||||||||||||||
Total assets | 1,347,492 | 3,140,604 | 415,716 | 1,316,235 | 6,220,047 |
Three Months Ended | |||||||||||||||
(In Thousands, except Share Data) | December 31, | September 30, | June 30, | March 31, | |||||||||||
2016 | |||||||||||||||
Operating results: | |||||||||||||||
Interest income (1) | $ | 56,334 | $ | 60,906 | $ | 66,787 | $ | 62,328 | |||||||
Interest expense | (20,537 | ) | (21,597 | ) | (22,444 | ) | (23,950 | ) | |||||||
Net interest income | 35,797 | 39,309 | 44,343 | 38,378 | |||||||||||
Reversal of (provision for) loan losses (2) | — | 859 | 6,532 | (289 | ) | ||||||||||
Non-interest income (3) | 9,763 | 33,712 | 10,888 | 4,454 | |||||||||||
Operating expenses (4) | (17,824 | ) | (20,355 | ) | (20,155 | ) | (30,452 | ) | |||||||
Net income | 25,355 | 52,553 | 41,281 | 12,063 | |||||||||||
Per share data: | |||||||||||||||
Net income – basic | $ | 0.32 | $ | 0.67 | $ | 0.52 | $ | 0.15 | |||||||
Net income – diluted | 0.31 | 0.58 | 0.48 | 0.15 | |||||||||||
Regular dividends declared per common share | 0.28 | 0.28 | 0.28 | 0.28 | |||||||||||
2015 | |||||||||||||||
Operating results: | |||||||||||||||
Interest income (5) | $ | 68,829 | $ | 63,484 | $ | 63,373 | $ | 63,746 | |||||||
Interest expense | (25,039 | ) | (23,875 | ) | (23,008 | ) | (23,961 | ) | |||||||
Net interest income | 43,790 | 39,609 | 40,365 | 39,785 | |||||||||||
Non-interest income | 19,593 | (3,412 | ) | 14,104 | (5,031 | ) | |||||||||
Operating expenses | (22,638 | ) | (24,497 | ) | (25,218 | ) | (25,063 | ) | |||||||
Net income | 41,059 | 19,164 | 27,064 | 14,801 | |||||||||||
Per share data: | |||||||||||||||
Net income – basic | $ | 0.49 | $ | 0.22 | $ | 0.31 | $ | 0.17 | |||||||
Net income – diluted | 0.46 | 0.22 | 0.31 | 0.16 | |||||||||||
Regular dividends declared per common share | 0.28 | 0.28 | 0.28 | 0.28 |
(1) | Interest income for the three-month periods ended December 31, 2016, September 30, 2016, and June 30, 2016, included $1 million, $1 million, and $5 million, respectively, of yield maintenance fees from commercial loans that prepaid during the quarters. |
(2) | During the second quarter of 2016, we recorded a reversal of provision for loan losses of $7 million as a result of the transfer of most of our commercial mezzanine loans from held-for-investment to held-for sale. |
(3) | Non-interest income for the three-month periods ended December 31, 2016 and September 30, 2016 included $1 million and $5 million, respectively, of realized gains from the sale of the majority of our commercial mezzanine loan portfolio. |
(4) | During the first quarter of 2016, we recorded restructuring charges totaling $10 million associated with the restructuring of our conforming and commercial mortgage banking operations. |
(5) | Interest income for both three-month periods ended December 31, 2015 and June 30, 2015 included $2 million of yield maintenance fees from commercial loans that prepaid during the quarters. |
By: | /s/ ANDREW P. STONE | |
Andrew P. Stone | ||
Executive Vice President, General Counsel, & Secretary |
/s/ MARTIN S. HUGHES | ||
Martin S. Hughes |
Name: | ||
Martin S. Hughes | ||
Date: |
Name: | ||
Date: |
Name: | ||
Martin S. Hughes | ||
Date: |
Name: | ||
Date: |
By: | /s/ MARTIN S. HUGHES | |
Martin S. Hughes | ||
Chief Executive Officer |
/s/ CHRISTOPHER J. ABATE | ||
Christopher J. Abate |
Name: | ||
Christopher J. Abate | ||
Date: |
Name: | ||
Date: |
Name: | ||
Christopher J. Abate | ||
Date: |
Name: | ||
Date: |
By: | /s/ MARTIN S. HUGHES | |
Martin S. Hughes | ||
Chief Executive Officer |
/s/ ANDREW P. STONE | ||
Andrew P. Stone |
Name: | ||
Andrew P. Stone | ||
Date: |
Name: | ||
Date: |
Name: | ||
Andrew P. Stone | ||
Date: |
Name: | ||
Date: |
Years Ended December 31, | ||||||||||||||||||||
(In Thousands, Except Ratios) | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||
Net income before provision for income taxes | $ | 134,960 | $ | 91,742 | $ | 101,313 | $ | 184,194 | $ | 133,060 | ||||||||||
Interest expense on asset-backed securities | 14,735 | 21,469 | 31,227 | 39,716 | 101,732 | |||||||||||||||
Interest expense on long-term debt | 51,506 | 43,842 | 30,246 | 23,819 | 9,583 | |||||||||||||||
Earnings available to cover fixed charges | $ | 201,201 | $ | 157,053 | $ | 162,786 | $ | 247,729 | $ | 244,375 | ||||||||||
Fixed charges: | ||||||||||||||||||||
Interest expense on asset-backed securities | $ | 14,735 | $ | 21,469 | $ | 31,227 | $ | 39,716 | $ | 101,732 | ||||||||||
Interest expense on long-term debt | 51,506 | 43,842 | 30,246 | 23,819 | 9,583 | |||||||||||||||
Total fixed charges | $ | 66,241 | $ | 65,311 | $ | 61,473 | $ | 63,535 | $ | 111,315 | ||||||||||
Ratio of Earnings to Fixed Charges | 3.04 | 2.40 | 2.65 | 3.90 | 2.20 | |||||||||||||||
(1) | The ratio of earnings to fixed charges represents the number of times “fixed charges” are covered by “earnings.” “Fixed charges” consist of interest on outstanding long-term debt and asset-backed securities issued, as well as associated amortization of debt discount and deferred issuance costs. The proportion deemed representative of the interest factor of operating lease expense has not been deducted as the total operating lease expense in itself was de minimis and did not affect the ratios in a material way. “Earnings” consist of consolidated income before income taxes and fixed charges. |
Subsidiaries* | Jurisdiction of Incorporation or Organization | |
Redwood Asset Management, Inc.** | Delaware | |
Redwood Capital Trust I | Delaware | |
Redwood Commercial Mortgage Corporation*** | Delaware | |
Redwood Residential Acquisition Corporation | Delaware | |
Redwood Subsidiary Holdings, LLC | Delaware | |
RWT Holdings, Inc.**** | Delaware | |
RWT Securities, LLC | Delaware | |
Sequoia Mortgage Funding Corporation***** | Delaware | |
Sequoia Residential Funding, Inc.****** | Delaware | |
RWT Financial, LLC | Delaware | |
* | In accordance with Item 601(b)(21)(ii) of Regulation S-K the names of certain subsidiaries have been omitted. |
** | Redwood Asset Management, Inc. is the collateral manager of the following Acacia securitization entities: Acacia CDO 5, Ltd., Acacia CDO 7, Ltd., Acacia CDO 8, Ltd., Acacia CDO CRE 1, Ltd., Acacia CDO 9, Ltd., Acacia CDO 10, Ltd., Acacia CDO 11, Ltd., and Acacia CDO 12, Ltd. These Acacia CDO entities were organized in the Cayman Islands. |
*** | Certain commercial real estate related investments are financed by transferring (by sale) those investments to the following special purpose entity, which was organized in Delaware: RCMC 2012-CREL1, LLC. The equity interests in RCMC 2012-CREL1, LLC are held by Redwood Trust, Inc. |
**** | The following special purpose entities, each of which is organized in Delaware, are associated with residential risk sharing arrangements with Fannie Mae and Freddie Mac: RRAC SPV-FN Trust; RRAC SPV-FN2 Trust; and RRAC SPV-FRE Trust. The equity interests in each such entity are held by RWT Holdings, Inc. |
***** | Sequoia Mortgage Funding Corporation is the depositor with respect to four Sequoia securitization trusts that are not listed in this exhibit, but we are required to consolidate the assets and liabilities of two of these trusts under GAAP for financial reporting purposes. |
****** | Sequoia Residential Funding, Inc. is the depositor with respect to more than 30 Sequoia securitization trusts that are not listed in this exhibit, but we are required to consolidate the assets and liabilities of certain of these trusts under GAAP for financial reporting purposes. |
1. | I have reviewed this Annual Report on Form 10-K of Redwood Trust, Inc.; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over the financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: February 24, 2017 | /s/ MARTIN S. HUGHES | |
Martin S. Hughes | ||
Chief Executive Officer |
1. | I have reviewed this Annual Report on Form 10-K of Redwood Trust, Inc.; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over the financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: February 24, 2017 | /s/ CHRISTOPHER J. ABATE | |
Christopher J. Abate | ||
President and Chief Financial Officer |
Date: February 24, 2017 | /s/ MARTIN S. HUGHES | |
Martin S. Hughes | ||
Chief Executive Officer |
Date: February 24, 2017 | /s/ CHRISTOPHER J. ABATE | |
Christopher J. Abate | ||
President and Chief Financial Officer |
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Document and Entity Information - USD ($) |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Feb. 20, 2017 |
Jun. 30, 2016 |
|
Document And Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2016 | ||
Document Fiscal Year Focus | 2016 | ||
Document Fiscal Period Focus | Q4 | ||
Trading Symbol | RWT | ||
Entity Registrant Name | REDWOOD TRUST INC | ||
Entity Central Index Key | 0000930236 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Common Stock, Shares Outstanding | 76,923,505 | ||
Entity Public Float | $ 1,040,561,774 | ||
Entity Current Reporting Status | Yes | ||
Entity Voluntary Filers | No | ||
Entity Well-known Seasoned Issuer | Yes |
Consolidated Balance Sheets - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
|||||
---|---|---|---|---|---|---|---|
ASSETS | |||||||
Real estate securities, at fair value | [1] | $ 1,018,439 | $ 1,233,256 | ||||
Mortgage servicing rights, at fair value | [1] | 118,526 | 191,976 | ||||
Cash and cash equivalents | [1] | 212,844 | 220,229 | ||||
Total earning assets | [1] | 5,240,560 | 5,976,911 | ||||
Restricted cash | [1] | 8,623 | 5,567 | ||||
Accrued interest receivable | [1] | 18,454 | 23,290 | ||||
Derivative assets | [1] | 36,595 | 16,393 | ||||
Other assets | [1] | 179,245 | 197,886 | ||||
Total Assets | [1] | 5,483,477 | 6,220,047 | ||||
Liabilities | |||||||
Short-term debt | [1] | 791,539 | 1,855,003 | ||||
Accrued interest payable | [1] | 9,608 | 8,936 | ||||
Derivative liabilities | [1] | 66,329 | 62,794 | ||||
Accrued expenses and other liabilities | [1] | 72,428 | 69,897 | ||||
Asset-backed securities issued (includes $773,462 and $996,820 at fair value), net | [1],[2] | 773,462 | 1,049,415 | ||||
Long-term debt (includes $0 and $63,152 at fair value), net | [1],[2] | 2,620,683 | 2,027,737 | ||||
Total liabilities | [1] | 4,334,049 | 5,073,782 | ||||
Equity | |||||||
Common stock, par value $0.01 per share, 180,000,000 shares authorized; 76,834,663 and 78,162,765 issued and outstanding | [1] | 768 | 782 | ||||
Additional paid-in capital | [1] | 1,676,486 | 1,695,956 | ||||
Accumulated other comprehensive income | [1] | 71,853 | 91,993 | ||||
Cumulative earnings | [1] | 1,149,935 | 1,018,683 | ||||
Cumulative distributions to stockholders | [1] | (1,749,614) | (1,661,149) | ||||
Total equity | [1] | 1,149,428 | 1,146,265 | ||||
Total Liabilities and Equity | [1] | 5,483,477 | 6,220,047 | ||||
Residential Loans Held For Sale | |||||||
ASSETS | |||||||
Loan market valuation adjustment | [1] | 835,399 | 1,115,738 | ||||
Residential Loans Held For Investment | |||||||
ASSETS | |||||||
Loan market valuation adjustment | [1] | 3,052,652 | 2,813,065 | ||||
Commercial Loans Held For Sale | |||||||
ASSETS | |||||||
Loan market valuation adjustment | [1] | 2,700 | 39,141 | ||||
Commercial loans, held-for-investment | |||||||
ASSETS | |||||||
Loan market valuation adjustment | [1] | $ 0 | $ 363,506 | ||||
|
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Asset-backed securities, fair value | $ 773,462 | $ 996,820 |
Long-term debt at fair value | $ 0 | $ 63,152 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 180,000,000 | 180,000,000 |
Common stock, issued (in shares) | 76,834,663 | 78,162,765 |
Common stock, outstanding (in shares) | 76,834,663 | 78,162,765 |
Variable interest held by entity, assets | $ 798,317 | $ 1,195,574 |
Variable interest held by entity, liabilities | 773,980 | 1,050,861 |
Asset-backed securities issued, net | ||
Deferred debt issuance costs | 0 | 542 |
Long-term Debt | ||
Deferred debt issuance costs | 7,081 | 10,438 |
Commercial Loans Held For Sale | ||
Residential loans | 0 | 39,141 |
Commercial loans, held-for-investment | ||
Residential loans | $ 0 | $ 67,657 |
Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands |
Total |
Common Stock |
Additional Paid-In Capital |
Accumulated Other Comprehensive Income |
Cumulative Earnings |
Cumulative Distributions to Stockholders |
|||||
---|---|---|---|---|---|---|---|---|---|---|---|
Beginning balance (in shares) at Dec. 31, 2013 | 82,504,801 | ||||||||||
Balance at beginning of period at Dec. 31, 2013 | $ 1,245,783 | $ 825 | $ 1,760,899 | $ 148,766 | $ 806,298 | $ (1,471,005) | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Net income | 100,569 | 100,569 | |||||||||
Other comprehensive income (loss) | (8,078) | (8,078) | |||||||||
Dividend reinvestment & stock purchase plans (in shares) | 488,174 | ||||||||||
Dividend reinvestment & stock purchase plans | 9,017 | $ 5 | 9,012 | ||||||||
Employee stock purchase and incentive plans (in shares) | 450,166 | ||||||||||
Employee stock purchase and incentive plans | (7,148) | $ 4 | (7,152) | ||||||||
Non-cash equity award compensation | 11,271 | 11,271 | |||||||||
Common dividends declared | (95,273) | (95,273) | |||||||||
Ending balance (in shares) at Dec. 31, 2014 | 83,443,141 | ||||||||||
Balance at End of Period at Dec. 31, 2014 | 1,256,141 | $ 834 | 1,774,030 | 140,688 | 906,867 | (1,566,278) | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Beginning balance, adjusted | 1,265,869 | $ 834 | 1,774,030 | 140,688 | 916,595 | (1,566,278) | |||||
Cumulative effect adjustment - adoption of ASU 2014-13 | Accounting Standards Update 2014-13 | [1] | 9,728 | 9,728 | ||||||||
Net income | 102,088 | 102,088 | |||||||||
Other comprehensive income (loss) | (48,695) | (48,695) | |||||||||
Dividend reinvestment & stock purchase plans (in shares) | 418,508 | ||||||||||
Dividend reinvestment & stock purchase plans | 6,834 | $ 4 | 6,830 | ||||||||
Employee stock purchase and incentive plans (in shares) | 753,429 | ||||||||||
Employee stock purchase and incentive plans | (7,981) | $ 7 | (7,988) | ||||||||
Non-cash equity award compensation | 11,806 | 11,806 | |||||||||
Share repurchases (in shares) | (6,452,313) | ||||||||||
Share repurchases | (88,785) | $ (63) | (88,722) | ||||||||
Common dividends declared | (94,871) | (94,871) | |||||||||
Ending balance (in shares) at Dec. 31, 2015 | 78,162,765 | ||||||||||
Balance at End of Period at Dec. 31, 2015 | 1,146,265 | [2] | $ 782 | 1,695,956 | 91,993 | 1,018,683 | (1,661,149) | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Net income | 131,252 | 131,252 | |||||||||
Other comprehensive income (loss) | (20,140) | (20,140) | |||||||||
Employee stock purchase and incentive plans (in shares) | 614,952 | ||||||||||
Employee stock purchase and incentive plans | (7,025) | $ 5 | (7,030) | ||||||||
Non-cash equity award compensation | 12,648 | 12,648 | |||||||||
Share repurchases (in shares) | (1,943,054) | ||||||||||
Share repurchases | (25,107) | $ (19) | (25,088) | ||||||||
Common dividends declared | (88,465) | (88,465) | |||||||||
Ending balance (in shares) at Dec. 31, 2016 | 76,834,663 | ||||||||||
Balance at End of Period at Dec. 31, 2016 | $ 1,149,428 | [2] | $ 768 | $ 1,676,486 | $ 71,853 | $ 1,149,935 | $ (1,749,614) | ||||
|
Consolidated Statements of Cash Flows $ in Thousands |
12 Months Ended | ||||||
---|---|---|---|---|---|---|---|
Dec. 31, 2016
USD ($)
|
Dec. 31, 2015
USD ($)
|
Dec. 31, 2014
USD ($)
|
|||||
Cash Flows From Operating Activities: | |||||||
Net income | $ 131,252 | $ 102,088 | $ 100,569 | ||||
Adjustments to reconcile net income to net cash used in operating activities: | |||||||
Amortization of premiums, discounts, and securities issuance costs, net | (26,487) | (34,089) | (34,133) | ||||
Depreciation and amortization of non-financial assets | 1,140 | 824 | 513 | ||||
Purchases of held-for-sale loans | (4,953,619) | (11,045,813) | (9,917,943) | ||||
Proceeds from sales of held-for-sale loans | 4,192,671 | 9,761,010 | 8,126,249 | ||||
Principal payments on held-for-sale loans | 80,033 | 80,299 | 30,233 | ||||
Net settlements of derivatives | (7,301) | (59,406) | (33,220) | ||||
(Reversal of) provision for loan losses | (7,102) | (355) | 961 | ||||
Non-cash equity award compensation expense | 12,648 | 11,806 | 11,271 | ||||
Market valuation adjustments | 12,917 | 51,975 | 298 | ||||
Realized gains, net | (28,009) | (36,369) | (15,478) | ||||
Net change in: | |||||||
Accrued interest receivable and other assets | 42,572 | (88,173) | (57,685) | ||||
Accrued interest payable, deferred tax liabilities, and accrued expenses and other liabilities | 3,632 | 5,993 | (2,768) | ||||
Net cash used in operating activities | (545,653) | (1,250,210) | (1,791,133) | ||||
Cash Flows From Investing Activities: | |||||||
Purchases of loans held-for-investment | 0 | (22,219) | (87,454) | ||||
Proceeds from sales of loans held-for-investment | 235,604 | 6,459 | 0 | ||||
Principal payments on loans held-for-investment | 798,831 | 500,239 | 364,040 | ||||
Purchases of real estate securities | (318,268) | (179,265) | (168,654) | ||||
Proceeds from sales of real estate securities | 497,191 | 439,493 | 504,754 | ||||
Principal payments on real estate securities | 80,055 | 138,630 | 174,241 | ||||
Purchase of mortgage servicing rights | (15,338) | (32,388) | (46,113) | ||||
Proceeds from sales of mortgage servicing rights | 58,642 | 17,235 | 0 | ||||
Net change in restricted cash | (3,056) | (4,939) | (230) | ||||
Net cash provided by investing activities | 1,333,661 | 863,245 | 740,584 | ||||
Cash Flows From Financing Activities: | |||||||
Proceeds from borrowings on short-term debt | 3,918,083 | 8,570,291 | 8,320,982 | ||||
Repayments on short-term debt | (4,981,547) | (8,534,802) | (7,442,836) | ||||
Repayments on asset-backed securities issued | (261,351) | (388,962) | (396,734) | ||||
Deferred securities issuance costs | 0 | (33) | (6,934) | ||||
Proceeds from issuance of long-term debt | 771,287 | 1,400,222 | 770,042 | ||||
Repayments on long-term debt | (118,146) | (527,371) | (685) | ||||
Net settlements of derivatives | (156) | (43) | (3,352) | ||||
Net proceeds from issuance of common stock | 304 | 7,301 | 9,511 | ||||
Net payments on repurchase of common stock | (28,073) | (85,820) | 0 | ||||
Taxes paid on equity award distributions | (7,329) | (8,448) | (7,643) | ||||
Dividends paid | (88,465) | (94,871) | (95,273) | ||||
Net cash (used in) provided by financing activities | (795,393) | 337,464 | 1,147,078 | ||||
Net (decrease) increase in cash and cash equivalents | (7,385) | (49,501) | 96,529 | ||||
Cash and cash equivalents at beginning of period | 220,229 | [1] | 269,730 | 173,201 | |||
Cash and cash equivalents at end of period | 212,844 | [1] | 220,229 | [1] | 269,730 | ||
Cash paid during the period for: | |||||||
Interest | 87,164 | 86,849 | 81,350 | ||||
Taxes | 1,303 | 165 | 1,407 | ||||
Supplemental Noncash Information: | |||||||
Real estate securities retained from loan securitizations | 9,127 | 244,177 | 150,387 | ||||
Retention of mortgage servicing rights from loan securitizations and sales | 10,060 | 64,725 | 48,000 | ||||
Transfers from loans held-for-sale to loans held-for-investment | 1,063,860 | 1,555,814 | 633,707 | ||||
Transfers from loans held-for-investment to loans held-for-sale | 359,005 | 154,012 | 0 | ||||
Transfers from residential loans to real estate owned | $ 11,632 | $ 8,500 | $ 6,844 | ||||
|
Organization |
12 Months Ended |
---|---|
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
Organization | Organization Redwood Trust, Inc., together with its subsidiaries, focuses on investing in mortgages and other real estate related assets and engaging in mortgage banking activities. We seek to invest in real estate-related assets that have the potential to generate attractive cash flow returns over time and to generate income through our mortgage banking activities. We operate our business in three segments: Residential Investments, Residential Mortgage Banking, and Commercial. Our primary sources of income are net interest income from our investment portfolios and non-interest income from our mortgage banking activities. Net interest income consists of the interest income we earn on investments less the interest expense we incur on borrowed funds and other liabilities. Income from mortgage banking activities consists of the profit we seek to generate through the acquisition of loans and their subsequent sale or securitization. Redwood Trust, Inc. has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), beginning with its taxable year ended December 31, 1994. We generally refer, collectively, to Redwood Trust, Inc. and those of its subsidiaries that are not subject to subsidiary-level corporate income tax as “the REIT” or “our REIT.” We generally refer to subsidiaries of Redwood Trust, Inc. that are subject to subsidiary-level corporate income tax as “our operating subsidiaries” or “our taxable REIT subsidiaries” or “TRS.” Redwood was incorporated in the State of Maryland on April 11, 1994, and commenced operations on August 19, 1994. References herein to “Redwood,” the “company,” “we,” “us,” and “our” include Redwood Trust, Inc. and its consolidated subsidiaries, unless the context otherwise requires. Refer to Item 1 - Business in this Annual Report on Form 10-K for additional information on our business. |
Basis of Presentation |
12 Months Ended |
---|---|
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The consolidated financial statements presented herein are at December 31, 2016 and December 31, 2015, and for the years ended December 31, 2016, 2015, and 2014. These consolidated financial statements have been prepared in accordance with U.S. generally accepted accounting principles ("GAAP") — as prescribed by the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) — and the rules and regulations of the Securities and Exchange Commission ("SEC"). In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the company at December 31, 2016 and results of operations for all periods presented have been made. In the second quarter of 2015, we began to specifically identify derivatives that are used to hedge our exposure to market interest rate risk associated with our mortgage servicing right ("MSR") investments. As a result, beginning in the second quarter of 2015, we changed our income statement presentation to include the change in market value of these derivatives in the line item “Mortgage servicing rights income (loss), net.” As we previously managed our market interest rate risk on a portfolio-wide basis and did not necessarily rely on derivatives to hedge our MSRs, we cannot conform prior periods to the current presentation. Therefore, in periods prior to the second quarter of 2015 presented in our consolidated statements of income, amounts in “Mortgage servicing rights income (loss), net” do not reflect the impact of hedging. These changes and year-over-year comparisons are discussed in further detail in Part II, Item 7, Management’s Discussion and Analysis of Financial Condition and Results of Operations in this Annual Report on Form 10-K. Additionally, in the first quarter of 2016, we began to present the changes in fair value of certain investments and their associated derivatives in the new line item "Investment fair value changes, net" on our consolidated statements of income and began to present income from mortgage banking activities in "Mortgage banking activities, net" on our consolidated statements of income. We conformed the presentation of prior periods related to this change for consistency of comparison. See Note 18 and Note 19 for additional detail on the components of these income statement line items. Principles of Consolidation In accordance with GAAP, we determine whether we must consolidate transferred financial assets and variable interest entities (“VIEs”) for financial reporting purposes. We currently consolidate the assets and liabilities of certain Sequoia securitization entities where we maintain an ongoing involvement. From its creation in 2012 through the second quarter of 2016, when the third party financing was repaid, we consolidated the assets and liabilities of an entity formed in connection with a commercial securitization in which we engaged (“Commercial Securitization”). We also consolidated the assets and liabilities of an entity formed in connection with a resecuritization transaction we engaged in (“Residential Resecuritization”) from its creation in 2011 through the fourth quarter of 2015, when the debt of the entity was repaid and the assets of the entity were distributed to us. Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood Trust, Inc. Our exposure to these entities is primarily through the financial interests we have retained, although we are exposed to certain financial risks associated with our role as a sponsor, manager, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. For financial reporting purposes, the underlying loans and securities owned at the consolidated Sequoia entities, the Residential Resecuritization entity, and the Commercial Securitization entity are shown under residential and commercial loans and real estate securities on our consolidated balance sheets. The asset-backed securities (“ABS”) issued to third parties by these entities are shown under ABS issued. In our consolidated statements of income, we recorded interest income on the loans and securities owned at these entities and interest expense on the ABS issued by these entities as well as other income and expenses associated with these entities' activities. See Note 13 for further discussion on ABS issued. See Note 4 for further discussion on principles of consolidation. Use of Estimates The preparation of financial statements requires us to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. Our estimates are inherently subjective in nature and actual results could differ from our estimates and the differences could be material. |
Summary of Significant Accounting Policies |
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Accounting Policies [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Significant Accounting Policies Fair Value Measurements Our consolidated financial statements include assets and liabilities that are measured at their estimated fair values in accordance with GAAP. A fair value measurement represents the price at which an orderly transaction would occur between willing market participants at the measurement date. We develop fair values for financial assets or liabilities based on available inputs and pricing that is observed in the marketplace. After considering all available indications of the appropriate rate of return that market participants would require, we consider the reasonableness of the range indicated by the results to determine an estimate that is most representative of fair value. The markets for many of the assets that we invest in and issue are generally illiquid. Establishing fair values for illiquid assets and liabilities is inherently subjective and is often dependent upon our estimates and modeling assumptions. If we determine that either the volume and/or level of trading activity for an asset or liability has significantly decreased from normal market conditions, or price quotations or observable inputs are not associated with orderly transactions, the market inputs that we obtain might not be relevant. For example, broker or pricing service quotes might not be relevant if an active market does not exist for the financial asset or liability. The nature of the quote (for example, whether the quote is an indicative price or a binding offer) is also evaluated. In circumstances where relevant market inputs cannot be obtained, increased analysis and management judgment are required to estimate fair value. This generally requires us to establish internal assumptions about future cash flows and appropriate risk-adjusted discount rates. Regardless of the valuation inputs we apply, the objective of fair value measurement for assets is unchanged from what it would be if markets were operating at normal activity levels and/or transactions were orderly; that is, to determine the current exit price. See Note 5 for further discussion on fair value measurements. Fair Value Option We have the option to measure eligible financial assets, financial liabilities, and commitments at fair value on an instrument-by-instrument basis. This option is available when we first recognize a financial asset or financial liability or enter into a firm commitment. Subsequent changes in the fair value of assets, liabilities, and commitments where we have elected the fair value option are recorded in our consolidated statements of income. We elect the fair value option for certain residential loans, MSRs, interest only (“IO”) securities, and certain mezzanine classified subordinate securities. We generally elect the fair value option for residential loans that are held-for-sale, due to our intent to sell or securitize the loans in the near-term. We elect the fair value option for our MSRs, IO securities, and certain subordinate securities, for which we generally hedge market interest rate risk. As such, we seek to offset interest rate related changes in the values of these investments with changes in the values of their associated hedges through our consolidated statements of income. In addition, upon the adoption of ASU 2014-13 in 2015, we elected the fair value option for the assets and liabilities of our consolidated Sequoia entities. See Note 5 for further discussion on the fair value option. Real Estate Loans Residential and Commercial Loans - Held-for-Sale at Fair Value Residential and commercial loans held-for-sale include loans that we are marketing for sale to third parties, including transfers to securitization entities that we plan to sponsor and expect to be accounted for as sales for financial reporting purposes. We generally elect the fair value option for residential loans (and previously for commercial loans) that we purchase with the intent to sell to third parties or transfer to Sequoia securitizations. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due. Changes in fair value are recurring and are reported through our consolidated statements of income in Mortgage banking activities, net. Residential and Commercial Loans - Held-for-Sale at Lower of Cost or Market Loans held-for-sale at lower of cost or market include certain residential and commercial loans. These loans are recorded and subsequently reported at the lower of their initial carrying amount or current fair value. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status. Loans delinquent more than 90 days or in foreclosure are characterized as a serious delinquency. Cash principal and interest that is advanced from servicers subsequent to a residential loan becoming greater than 90 days past due is accounted for as a reduction in the outstanding loan principal balance. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Changes in fair value are non-recurring and are reported through our consolidated statements of income in Mortgage banking activities, net and Investment fair value changes, net, for residential and commercial loans, respectively. Residential Loans Held-for-Investment - At Fair Value Certain loans that were originally purchased with the intent to sell as part of our residential mortgage banking operations, and for which we elected the fair value option at acquisition, were subsequently reclassified to held-for-investment ("HFI") when the loans were transferred to our FHLBC member subsidiary and pledged as collateral for borrowings made from the Federal Home Loan Bank of Chicago (“FHLBC”). As of December 31, 2016, our current intention is to hold these loans for longer-term investment while they are financed by the FHLBC. In addition, on January 1, 2015, we adopted ASU 2014-13 and began to record loans held at consolidated Sequoia entities at fair value. Coupon interest for these loans is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Changes in fair value are recurring and are reported through our consolidated statements of income in Investment fair value changes, net. Commercial Loans Held-for-Investment - At Fair Value We elected the fair value option for certain senior commercial mortgage loans that we originated and bifurcated into a senior portion that was sold to a third party and a junior portion that we retained as an investment (during 2016, we disposed of all of our interests in these loans). As the initial transfer of the senior portions did not meet the criteria for sale treatment under GAAP, the loans in their entirety (the senior and junior portions) remained on our consolidated balance sheet, and we accounted for the transfer of the senior portion as a secured borrowing. Coupon interest was recognized as revenue when earned and deemed collectible. Changes in fair value were recurring and reported through our consolidated statements of income in Mortgage banking activities, net. Commercial Loans Held-for-Investment - At Amortized Cost Commercial loans held-for-investment at amortized cost historically included certain commercial loans prior to their transfer to held-for-sale classification during 2016. Coupon interest was recognized as revenue when earned and deemed collectible or until a loan became more than 90 days past due or had been individually impaired, at which point the loan was placed on non-accrual status. Interest previously accrued for loans that had become greater than 90 days past due or individually impaired was reserved for in the allowance for loan losses. See Note 7 for further discussion on commercial loans. Residential Loans - Allowance for Loan Losses and Foreclosed Loans Upon the adoption of ASU 2014-13 on January 1, 2015, we reclassified all residential loans held at amortized cost to fair value and eliminated our allowance for loan losses for residential loans. See Note 6 for further discussion on the allowance for loan losses for residential loans. Commercial Loans - Allowance for Loan Losses For commercial loans historically classified as held-for-investment at amortized cost, we established and maintained a general allowance for loan losses inherent in our portfolio at the reporting date and, where appropriate, a specific allowance for loan losses for loans we determined to be impaired at the reporting date. An individual loan was considered impaired when it was deemed probable that we would not be able to collect all amounts due according to the contractual terms of the loan. Where an individual commercial loan was impaired, we recorded an allowance to reduce the carrying value of the loan to the current present value of expected future cash flows discounted at the loan’s effective rate or if a loan was collateral dependent, we reduced the carrying value to the estimated fair market value of the loan with a corresponding charge to provision for loan losses on our consolidated statements of income. For all commercial loans that were not individually impaired, we assessed the commercial loan portfolio in aggregate for loan losses based on our expectation of credit losses inherent in the portfolio at the reporting date. Repurchase Reserves We sell and have sold residential mortgage loans to various parties, including (1) securitization trusts, (2) Fannie Mae and Freddie Mac (“the Agencies”), and (3) banks and other financial institutions that purchase mortgage loans for investment or private label securitization. We may be required to repurchase residential mortgage loans we have sold, or loans associated with MSRs we have purchased, in the event of a breach of specified contractual representations and warranties made in connection with these sales and purchases. With respect to MSRs we purchase, if the associated residential loan has been sold to one of the Agencies (which is typically the case), that Agency can require us, as the owner of the MSR, to repurchase the residential loan in the event of such a breach of representations and warranties even though we were not the party that sold the associated loan to that Agency. In January 2016, we discontinued the acquisition and aggregation of conforming loans for resale to the Agencies. We do not originate residential mortgage loans and believe the initial risk of loss due to loan repurchases (i.e., due to a breach of representations and warranties) would generally be a contingency to the companies from whom we acquired the loans or MSRs. However, in some cases, such as where loans or MSRs were acquired from companies that have since become insolvent, we may have to bear the loss associated with a loan repurchase. Furthermore, even if we do not have to ultimately bear such a loss because we can recover from the company that sold us the loan or the MSR, there could be a delay in making that recovery. We establish reserves for mortgage repurchase liabilities related to various representations and warranties that reflect management’s estimate of losses for loans for which we could have a repurchase obligation, based on a combination of factors. Such factors can include estimated future defaults and loan repurchase rates, the potential severity of loss in the event of defaults, and the probability of our being liable for a repurchase obligation. We establish a reserve at the time loans are sold and MSRs are purchased and continually update our reserve estimate during its life. The reserve for mortgage loan repurchase losses is included in other liabilities on our consolidated balance sheets and the related expense is included as a component of Mortgage banking activities, net and MSR income (loss), net on our consolidated statements of income. See Note 15 for further discussion on the residential repurchase reserves. Real Estate Securities, at Fair Value Our securities primarily consist of residential mortgage backed securities (“RMBS”) and may include other residential and commercial securities. We classify our real estate securities as trading or available-for-sale securities. We use the “prime” or “non-prime” designation to categorize our residential securities based upon the general credit characteristics of the residential loans underlying each security at the time of origination. For example, prime residential loans are generally characterized by lower loan-to-value (“LTV”) ratios at the time the loans were originated, and are made to borrowers with higher Fair Isaac Corporation (“FICO”) scores. Non-prime residential loans are generally characterized by higher LTV ratios at the time the loans were originated and may have been made to borrowers with lower credit scores or impaired credit histories (while exhibiting the ability to repay their loans) at the time the loan was originated. Regardless of whether or not the loans underlying a residential security were designated as prime or non-prime at origination, there is a risk that the borrower may not be able to repay the loan. Trading Securities We primarily denote trading securities as those securities where we have adopted the fair value option. Trading securities are carried at their estimated fair values. Coupon interest is recognized as interest income when earned and deemed collectible. Changes in the fair value of securities designated as trading securities are reported in Investment fair value changes, net on our consolidated statements of income. Available-for-Sale Securities AFS securities are carried at their estimated fair value with unrealized gains and losses excluded from earnings (except when an other-than-temporary impairment (“OTTI”) is recognized, as discussed below) and reported in Accumulated other comprehensive income (“AOCI”), a component of stockholders’ equity. Interest income on AFS securities is accrued based on their outstanding principal balance and contractual terms and interest income is recognized based on the security’s effective interest rate. In order to calculate the effective interest rate, we must project cash flows over the remaining life of each security and make assumptions with regards to interest rates, prepayment rates, the timing and amount of credit losses, and other factors. On at least a quarterly basis, we review and, if appropriate, make adjustments to our cash flow projections based on input and analysis received from external sources, internal models, and our own judgments about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield and interest income recognized on these securities or in the recognition of OTTI as discussed below. For AFS securities purchased and held at a discount, a portion of the discount may be designated as non-accretable purchase discount (“credit reserve”), based on the cash flows we have projected for the security. The amount designated as credit reserve may be adjusted over time, based on our periodic evaluation of projected cash flows. If the performance of a security with a credit reserve is more favorable than previously forecasted, a portion of the credit reserve may be reallocated to accretable discount and recognized into interest income over time. Conversely, if the performance of a security with a credit reserve is less favorable than forecasted, the amount designated as credit reserve may be increased, or impairment charges and write-downs of such securities to a new cost basis could result. When the fair value of an AFS security is less than its amortized cost at the reporting date, the security is considered impaired. We assess our impaired securities at least quarterly to determine if the impairment is temporary or other-than-temporary (resulting in an OTTI). If we either - (i) intend to sell the impaired security; (ii) will more likely than not be required to sell the impaired security before it recovers in value; or (iii) if there has been an adverse change in cash flows - the impairment is deemed an OTTI. In the case of criteria (i) and (ii), we record the entire difference between the security’s estimated fair value and its amortized cost at the reporting date as an impairment through market valuation adjustments on our consolidated statements of income. If there has been an adverse change in cash flows, only the portion of the OTTI related to “credit” losses is recognized through other market valuation adjustments on our consolidated statements of income, with the remaining “non-credit” portion recognized through AOCI on our consolidated balance sheets. If the first two criteria are not met and there has not been an adverse change in cash flows, the impairment is considered temporary and the entire unrealized loss is recognized through AOCI on our consolidated balance sheets. For impaired AFS securities, to determine if there has been an adverse change in cash flows and if any portion of a resulting OTTI is related to credit losses, we compare the present value of the cash flows expected to be collected as of the current financial reporting date to the amortized cost basis of the security. The discount rate used to calculate the present value of expected future cash flows is the current yield used for income recognition purposes. If the present value of the current expected cash flows is less than the amortized cost basis, there has been an adverse change and the security is considered OTTI with the difference between these two amounts representing the credit loss. The determination as to whether an OTTI exists and, if so, the amount of credit impairment recognized in earnings is subjective, and based on information available at the time of the assessment as well as our estimates of future performance and cash flows. As a result, the timing and amount of OTTI constitute a material estimate that is susceptible to significant change. See Note 8 for further discussion on real estate securities. MSRs We recognize MSRs through the retention of servicing rights associated with residential mortgage loans that we acquired and subsequently transferred to third parties when the transfer meets the GAAP criteria for sale accounting, or through the direct acquisition of MSRs sold by third parties. We contract with licensed sub-servicers to perform servicing functions for loans associated with our MSRs. We have elected the fair value option for all of our MSRs, and they are initially recognized and carried at their estimated fair values. Servicing fee income from MSRs is recorded on a cash basis when received. Net servicing income and changes in the estimated fair value of MSRs are reported in MSR income (loss), net on our consolidated statements of income. See Note 9 for further discussion on MSRs. Cash and Cash Equivalents Cash and cash equivalents include non-restricted cash and highly liquid investments with original maturities of three months or less. The Company maintains its cash and cash equivalents with major financial institutions. Accounts at these institutions are guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) up to $250,000 for each bank. The Company is exposed to credit risk for amounts held in excess of the FDIC limit. The Company does not anticipate nonperformance by these institutions. Restricted Cash Restricted cash primarily includes cash held in association with borrowings from the Federal Home Loan Bank of Chicago, and cash associated with our risk sharing transactions with the Agencies, as well as principal and interest payments that are collateral for, or payable to, owners of ABS issued by consolidated securitization entities. Accrued Interest Receivable Accrued interest receivable includes interest that is due and payable to us and deemed collectible. Cash interest is generally received within thirty days of recording the receivable. For financial assets where we have elected the fair value option, the associated accrued interest receivable on these assets is measured at fair value. For financial assets where we have not elected the fair value option, the associated accrued interest carrying values approximate fair values. Derivative Financial Instruments Derivative financial instruments we typically utilize include swaps, swaptions, financial futures contracts, CMBX credit default index swaps, and “To Be Announced” (“TBA”) contracts. These derivatives are primarily used to manage interest rate risk associated with our operations. In addition, we enter into certain residential loan purchase commitments (“LPCs”) and residential loan forward sale commitments (“FSCs”) that are treated as derivatives for financial reporting purposes. All derivative financial instruments are recorded at their estimated fair value on our consolidated balance sheets. Derivatives with positive fair values to us are reported as assets and derivatives with negative fair values to us are reported as liabilities. We classify each derivative as either (i) a trading instrument (no specific hedging designation for financial reporting purposes) or (ii) a hedge of a forecasted transaction or of the variability of cash flows to be received or paid related to a recognized asset or liability (cash flow hedge). Changes in the fair values of derivatives accounted for as trading instruments, including any associated interest income or expense, are recorded in our consolidated statements of income through MSR income (loss), net if they are used to manage risks associated with our MSR investments, through Mortgage banking activities, net if they are used to manage risks associated with our mortgage banking activities, or through Investment fair value changes, net if they are used to manage risks associated with our investments. Valuation changes related to residential LPCs and FSCs are included in Mortgage banking activities, net on our consolidated statements of income. Changes in the fair values of derivatives accounted for as cash flow hedges, to the extent they are effective, are recorded in Accumulated other comprehensive income, a component of equity on our consolidated balance sheets. Interest income or expense, and any ineffectiveness associated with these derivatives, are recorded as a component of net interest income in our consolidated statements of income. We measure the effective portion of cash flow hedges by comparing the change in fair value of the expected future variable cash flows of the derivative hedging instruments with the change in fair value of the expected future variable cash flows of the hedged item. We will discontinue a designated cash flow hedge relationship if (i) we determine that the hedging derivative is no longer expected to be effective in offsetting changes in the cash flows of the designated hedged item; (ii) the derivative expires or is sold, terminated, or exercised; (iii) the derivative is de-designated as a cash flow hedge; or (iv) it is probable that a forecasted transaction associated with the hedged item will not occur by the end of the originally specified time period. To the extent we de-designate or terminate a cash flow hedging relationship and the associated hedged item continues to exist, any unrealized gain or loss of the cash flow hedge at the time of de-designation remains in accumulated other comprehensive income and is amortized using the straight-line method through interest expense over the remaining life of the hedged item. Swaps and Swaptions Interest rate swaps are agreements in which (i) one counterparty exchanges a stream of fixed interest payments for another counterparty’s stream of variable interest cash flows; or (ii) each counterparty exchanges variable interest cash flows that are referenced to different indices. Interest rate swaptions are agreements that provide the owner the right but not the obligation to enter into an underlying interest rate swap with a counterparty in the future. We enter into swap and swaptions primarily to reduce significant changes in our income or equity caused by interest rate volatility. Certain of these interest rate agreements may be designated as cash flow hedges. Eurodollar Futures and Financial Futures Eurodollar futures are futures contracts on time deposits denominated in U.S. dollars at banks outside the United States. Eurodollar futures, unlike our other derivatives, have maturities of only three months. Therefore, in order to achieve the desired interest rate offset necessary to manage our risk, consecutively maturing contracts are required, resulting in a stated notional amount that is typically higher than our other derivatives. Financial futures are futures contracts on benchmark U.S. Treasury rates. TBA Agreements TBA agreements are forward contracts to purchase mortgage-backed securities that will be issued by a U.S. government sponsored enterprise in the future. We purchase or sell these derivatives to offset - to varying degrees - changes in the values of mortgage products for which we have exposure to interest rate volatility. CMBX Credit Default Index Swaps CMBX credit default index swaps are derivative instruments that reference an index reflecting the performance of specified tranches from selected commercial mortgage-backed securities (“CMBS”) transactions. Transacting in CMBX credit default index swaps enables us to hedge certain financial risks we are exposed to as we originate senior commercial mortgage loans in anticipation of the sale of these loans into CMBS transactions. Loan Purchase and Forward Sale Commitments We use the term LPCs to refer to agreements with third-party residential loan originators to purchase residential loans at a future date that qualify as a derivative under GAAP and we use the term FSCs to refer to agreements with third-parties to sell residential loans at a future date that also qualify as derivatives under GAAP. LPCs and FSCs are recorded at their estimated fair values on our consolidated balance sheets and changes in fair value are recurring and are reported through our consolidated statements of income in Mortgage banking activities, net. See Note 10 for further discussion on derivative financial instruments. Deferred Tax Assets and Liabilities Our deferred tax assets/liabilities are generated by temporary differences in GAAP and taxable income at our taxable subsidiaries. These differences generally reflect differing accounting treatments for GAAP and tax, such as accounting for mortgage servicing rights, discount and premium amortization, credit losses, asset impairments, and certain valuation estimates. As a result of these differences, we may recognize taxable income in periods prior to when we recognize income for GAAP. When this occurs, we pay the tax liability as required and establish a deferred tax asset. As the income is subsequently realized in future periods under GAAP, the deferred tax asset is reduced. We may also recognize GAAP income in periods prior to when we recognize income for tax. When this occurs, we establish a deferred tax liability for GAAP. As the income is subsequently realized in future periods for tax, the deferred tax liability is reduced. In assessing the realizability of deferred tax assets, we consider whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during the periods in which those temporary differences become deductible. We consider historical and projected future taxable income and capital gains as well as tax planning strategies in making this assessment. We determine the extent to which realization of this deferred asset is not assured and establish a valuation allowance accordingly. The estimate of net deferred tax assets could change in future periods to the extent that actual or revised estimates of future taxable income during the carryforward periods change from current expectations. Other Assets and Other Liabilities Other assets primarily consists of margin receivable, pledged collateral, FHLBC stock, guarantee asset, and REO. Other liabilities primarily consists of accrued compensation, guarantee obligations, margin payable, and residential loan and MSR repurchase reserves. FHLBC Stock In accordance with its borrowing agreement with the FHLBC, our FHLB-member subsidiary is required to purchase and hold stock in the FHLBC in an amount equal to a specified percentage of outstanding advances. FHLBC stock is considered a non-marketable, long-term investment, and is carried at cost. Because this stock can only be redeemed or sold at its par value, and only to the FHLBC, carrying value, or cost, approximates fair value. Dividends received from FHLBC stock are recorded in other income, net in our consolidated statements of income. Margin Receivable and Payable Margin receivable and payable result from margin calls between us and our derivatives, master repurchase agreements, and warehouse facilities counterparties, whereby we or the counterparty were required to post collateral. Agency Risk-Sharing - Other Assets and Liabilities During 2014 and 2015, we entered into various risk-sharing arrangements with Fannie Mae and Freddie Mac. Under these arrangements, we committed to assume the first 1.00% or 2.25% (depending on the arrangement) of losses realized on reference pools of conforming residential mortgage loans that we acquired and then sold to the Agencies. As part of these risk sharing arrangements, during the 10 year term of our first Fannie Mae arrangement, we receive monthly cash payments from Fannie Mae based on the monthly outstanding unpaid principal balance of the reference pool of loans, and for our Freddie Mac and our subsequent Fannie Mae arrangements, the Agencies charged us a reduced guarantee fee for the reference loans we delivered to them in exchange for mortgage backed securities, which we then sold. Under these arrangements we are required to pledge assets to the Agencies to collateralize our risk sharing commitments to them throughout the terms of the arrangements. These pledged assets are held by a third-party custodian for the benefit of the Agencies. To the extent approved losses are incurred, the custodian will transfer collateral to the Agencies. As a result of these transactions, we recorded “pledged collateral” in the other assets line item, and “guarantee obligations” in the other liabilities line item, on our consolidated balance sheets. In addition, for the first Fannie Mae transaction, we recorded a “guarantee asset” in the other assets line item on our consolidated balance sheets. The guarantee obligations represent our commitments to assume losses under these arrangements, which at inception were recorded at fair value based on the fair value of the guarantee asset in the case of the first Fannie Mae arrangement, and the additional proceeds received that were attributable to the reduced guarantee fees for the Freddie Mac and subsequent Fannie Mae arrangements. We amortize the guarantee obligations over the 10 year terms of the arrangements based primarily on changes in the outstanding unpaid principal balance of loans in the reference pools, with a portion of the liabilities treated as a credit reserve that is not amortized into income. In addition, each period we assess the need for a separate loss allowance related to these arrangements, based on our estimate of credit losses inherent in the reference pools of loans. Income from cash payments received under the first Fannie Mae risk sharing arrangement and income related to the amortization of the guarantee obligations of all three arrangements are recorded in other income, and market valuation changes of the guarantee asset are recorded in Investment fair value changes, net on our consolidated statements of income. Our consolidated balance sheets include assets of the special purpose entities ("SPEs") associated with these risk sharing arrangements (i.e., the "pledged collateral" referred to above) that can only be used to settle obligations of these SPEs and liabilities of these SPEs for which the creditors of these SPEs (the Agencies) do not have recourse to Redwood Trust, Inc. or its affiliates. At December 31, 2016 and December 31, 2015, assets of such SPEs totaled $49 million and $63 million, respectively, and liabilities of such SPEs totaled $22 million and $25 million, respectively. See Note 15 for further discussion on loss contingencies — risk sharing. REO REO property acquired through, or in lieu of, foreclosure is initially recorded at fair value, and subsequently reported at the lower of its carrying amount or fair value (less estimated cost to sell). Changes in the fair value of an REO property that has a fair value at or below its carrying amount are recorded in our consolidated statements of income as a component of other market valuation adjustments. See Note 11 for further discussion on other assets. Short-Term Debt Short-term debt includes borrowings under master repurchase agreements, loan warehouse facilities, and other forms of borrowings that expire within one year with various counterparties. These borrowings may be unsecured or collateralized by cash, loans, or securities. If the value (as determined by the applicable counterparty) of the collateral securing those borrowings decreases, we may be subject to margin calls during the period the borrowings are outstanding. In instances where we do not satisfy the margin calls within the required time frame, the counterparty may retain the collateral and pursue any outstanding debt amount from us. See Note 12 for further discussion on short-term debt. Accrued Interest Payable Accrued interest payable includes interest that is due and payable to third parties. Interest is generally paid within one to three months of recording the payable, based upon our remittance requirements, and is paid semi-annually for our convertible and exchangeable debt. For borrowings where we have elected the fair value option, the associated accrued interest on these liabilities is measured at fair value. For financial liabilities where we have not elected the fair value option, the associated accrued interest carrying values approximate fair values. Asset-Backed Securities Issued ABS issued represents asset-backed securities issued by bankruptcy-remote entities consolidated by Redwood. These include certain Sequoia entities, the Residential Resecuritization and the Commercial Securitization. Assets at these entities are held in the custody of securitization trustees and are not owned by Redwood. These trustees collect principal and interest payments (less servicing and related fees) from the assets and make corresponding principal and interest payments to the ABS investors. ABS issued are generally carried at their unpaid principal balances net of any unamortized discount or premium and net of any unamortized deferred issuance costs. Upon adoption of ASU 2014-13 on January 1, 2015, we began to account for the ABS issued under our consolidated Sequoia entities at fair value, with periodic changes in fair value recorded in Investment fair value changes, net on our consolidated statements of income. See Note 13 for further discussion on ABS issued. Long-Term Debt FHLBC Borrowings FHLBC borrowings include amounts borrowed by our FHLB-member subsidiary, also referred to as “advances,” from the Federal Home Loan Bank of Chicago that are secured by eligible collateral, including, but not limited to, residential mortgage loans and residential mortgage-backed securities. FHLBC borrowings are carried at their unpaid principal balance and interest on advances is paid every 13 weeks from when each respective advance is made. If the value (as determined by the FHLBC) of the collateral securing those borrowings decreases, we may be subject to margin calls during the period the borrowings are outstanding. In instances where we do not satisfy the margin calls within the required time frame, the FHLBC may foreclose upon the collateral and pursue any outstanding debt amount from us. Commercial Secured Borrowings Commercial secured borrowings represent liabilities recognized in association with cash received from transfers of portions of senior commercial mortgage loans to third parties that did not meet the criteria for sale treatment under GAAP and were accounted for as financings. We elected the fair value option for these secured borrowings and they are held at their estimated fair value on our consolidated balance sheets. These amounts do not represent legal obligations of Redwood and we are not required to make interest payments on these borrowings. Convertible Notes Convertible notes include unsecured convertible and exchangeable debt that are carried at their unpaid principal balance net of any unamortized deferred issuance costs. Interest on the notes is payable semiannually until such time the notes mature or are converted or exchanged into shares. If converted or exchanged by a holder, the holder of the notes would receive shares of our common stock. Trust Preferred Securities and Subordinated Notes Trust preferred securities and subordinated notes are carried at their unpaid principal balance net of any unamortized deferred issuance costs. This long-term debt is unsecured and interest is paid quarterly until it is redeemed in whole or matures at a future date. Deferred Securities Issuance Costs Securities issuance costs are expenses associated with the issuance of long-term debt, and certain ABS issued. These expenses typically include underwriting, rating agency, legal, accounting, and other fees. ABS issuance costs associated with liabilities reported at cost are deferred. Deferred securities issuance costs are included in the carrying value of the related securities issued and are amortized as an adjustment to interest expense using the interest method, based upon the actual and estimated repayment schedules of the related securities issued. See Note 14 for further discussion on long-term debt. Equity Accumulated Other Comprehensive Income (Loss) Net unrealized gains and losses on real estate securities available-for-sale and interest rate agreements designated as cash flow hedges are reported as components of Accumulated other comprehensive income on our consolidated statements of changes in stockholders' equity and our consolidated balance sheets. Net unrealized gains and losses on securities and interest rate agreements held by our taxable subsidiaries that are reported in other comprehensive income are adjusted for the effects of taxation and may create deferred tax assets or liabilities. Earnings per Common Share Basic earnings per common share (“EPS”) is computed by dividing net income allocated to common shareholders by the weighted average common shares outstanding. Net income allocated to common shareholders represents net income less income allocated to participating securities (as described herein). Diluted EPS is computed by dividing income allocated to common shareholders by the weighted average common shares outstanding plus amounts representing the dilutive effect of share-based payment awards. In addition, if the assumed conversion or exchange of convertible or exchangeable debt into common shares is dilutive, diluted EPS is adjusted by adding back the periodic interest expense (net of any tax effects) associated with dilutive convertible or exchangeable debt to net income and adding the shares issued in an assumed conversion or exchange to the diluted weighted average share count. The two-class method is an earnings allocation formula under which EPS is calculated for common stock and participating securities according to dividends declared and participating rights in undistributed earnings. Under this method, all earnings (distributed and undistributed) are allocated between participating securities and common shares based on their respective rights to receive dividends or dividend equivalents. GAAP defines vested and unvested share-based payment awards containing nonforfeitable rights to dividends or dividend equivalents as participating securities that are included in computing EPS under the two-class method. See Note 16 for further discussion on equity. Incentive Plans In May 2014, our shareholders approved the 2014 Redwood Trust, Inc. Incentive Plan (“Incentive Plan”) for executive officers, employees, and non-employee directors, which replaced the 2002 Redwood Trust, Inc. Incentive Plan. The Incentive Plan provides for the grant of restricted stock, deferred stock, deferred stock units, performance-based awards (including performance stock units), dividend equivalents, stock payments, restricted stock units, and other types of awards to eligible participants. Long-term incentive awards granted under the Incentive Plan generally vest over a three- or four-year period. Awards made under the Incentive Plan to officers and other employees in lieu of the payment in cash of a portion of annual bonuses earned generally vest immediately, but are subject to a three-year mandatory holding period. Deferred stock units and restricted stock have attached dividend equivalent rights, resulting in the payment of dividend equivalents each time we pay a common stock dividend. Non-employee directors are also provided annual awards under the Incentive Plan that generally vest immediately. The cost of the awards is amortized over the vesting period on a straight-line basis. Upon adoption of ASU 2016-09, we elected to begin accounting for forfeitures on employee equity awards as they occur. Employee Stock Purchase Plan In May 2013, our shareholders approved an amendment to our previously amended 2002 Redwood Trust, Inc. Employee Stock Purchase Plan (“ESPP”) to increase the number of shares available under the ESPP. The purpose of the ESPP is to give our employees an opportunity to acquire an equity interest in the Company through the purchase of shares of common stock at a discount. The ESPP allows eligible employees to purchase common stock at 85% of its fair value, subject to certain limits. Fair value as defined under the ESPP is the lesser of the closing market price of the common stock on the first day of the calendar year or the last day of the calendar quarter. Executive Deferred Compensation Plan In November 2013, our Board of Directors approved an amendment to our 2002 Executive Deferred Compensation Plan (“EDCP”) to allow non-employee directors to defer certain cash payments and dividends into DSUs. The EDCP allows eligible employees and directors to defer portions of current salary and certain other forms of compensation. The Company matches some deferrals. Compensation deferred under the EDCP is recorded as a liability on our consolidated balance sheets. The EDCP allows for the investment of deferrals in either an interest crediting account or DSUs. 401(k) Plan We offer a tax-qualified 401(k) Plan to all employees for retirement savings. Under this Plan, employees are allowed to defer and invest up to 100% of their cash earnings, subject to the maximum 401(k) Plan contribution limit set forth by the Internal Revenue Service. We match some employee contributions to encourage participation and to provide a retirement planning benefit to employees. Plan matching contributions made by the Company for the years ended December 31, 2016, 2015, and 2014 were $0.6 million, $0.8 million, and $0.6 million, respectively. Vesting of the 401(k) Plan matching contributions is based on the employee’s tenure at the Company, and over time an employee becomes increasingly vested in matching contributions. See Note 17 for further discussion on equity compensation plans. Taxes We have elected to be taxed as a REIT under the Internal Revenue Code and the corresponding provisions of state law. To qualify as a REIT we must distribute at least 90% of our annual REIT taxable income to shareholders (not including taxable income retained in our taxable subsidiaries) within the time frame set forth in the tax code and also meet certain other requirements related to assets, income, and stock ownership. We assess our tax positions for all open tax years and record tax benefits only if tax positions meet a more-likely-than-not threshold in accordance with GAAP guidance on accounting for uncertain tax positions. We classify interest and penalties on material uncertain tax positions as interest expense and operating expense, respectively, in our consolidated statements of income. See Note 21 for further discussion on taxes. Recent Accounting Pronouncements Newly Adopted Accounting Standards Updates ("ASUs") In April 2015, the FASB issued ASU 2015-03, “Simplifying the Presentation of Debt Issuance Costs.” This new guidance requires debt issuance costs to be presented in the balance sheet as a direct deduction from the carrying value of the associated debt liability, consistent with the presentation of a debt discount. This new guidance is effective for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years, and is required to be applied on a retrospective basis. We adopted this guidance, as required, in the first quarter of 2016 and now present our deferred securities issuance costs as a reduction of the related liabilities on our consolidated balance sheets for all periods presented. At December 31, 2016 and December 31, 2015, we included zero and $0.5 million, respectively, of deferred securities issuance costs as a reduction to our ABS issued and presented these amounts together as ABS issued, net on our consolidated balance sheets, and we included $7 million and $10 million, respectively, of deferred securities issuance costs as a reduction to our long-term debt and presented these amounts together as Long-term debt, net on our consolidated balance sheets. In February 2015, the FASB issued ASU 2015-02, “Consolidation (Topic 810) - Amendments to the Consolidation Analysis.” This new guidance provides a new scope exception for certain money market funds, makes targeted amendments to the current consolidation guidance, and ends the deferral granted to investment companies from applying the VIE guidance. This new guidance is effective for annual periods beginning after December 15, 2015. We adopted this guidance, as required, in the first quarter of 2016, which did not have a material impact on our consolidated financial statements. In March 2016, the FASB issued ASU 2016-09, "Compensation - Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting." This new guidance provides simplifications of the accounting for share-based payment transactions, including related income tax accounting, classification of awards, and classification on the statement of cash flows. In addition, this guidance permits the withholding of employee taxes related to the distribution of equity awards up to the maximum individual employee statutory tax rates. This new guidance is effective for fiscal years beginning after December 15, 2016 and early adoption is permitted. In the second quarter of 2016, we adopted this new guidance. Upon adoption, we elected to account for forfeitures on employee equity awards as they occur, rather than estimating expected forfeitures. The adoption of this guidance did not have a material impact on our consolidated financial statements. Other Recent Accounting Pronouncements In November 2016, the FASB issued ASU 2016-18, "Statement of Cash Flows (Topic 230): Restricted Cash." This new guidance amends previous guidance on how to classify and present changes in restricted cash on the statement of cash flows. This new guidance is effective for fiscal years beginning after December 15, 2017. Early adoption is permitted. We plan to adopt this new guidance by the required date and we will modify the presentation of our cash flow statement as required. In October 2016, the FASB issued ASU 2016-17, "Consolidation (Topic 810): Interests Held through Related Parties That Are under Common Control." This new guidance amends the consolidation guidance on how a reporting entity, that is the single decision maker of a VIE, evaluates whether it is the primary beneficiary of a VIE. This new guidance is effective for fiscal years beginning after December 15, 2016. Early adoption is permitted. We plan to adopt this new guidance by the required date and we do not expect it will have a material impact on our consolidated financial statements. In October 2016, the FASB issued ASU 2016-16, "Income Taxes (Topic 740): Intra-Entity Transfers of Assets Other Than Inventory." This new guidance allows an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. It also eliminates the exceptions for an intra-entity transfer of assets other than inventory. This new guidance is effective for fiscal years beginning after December 15, 2017. Early adoption is permitted. We plan to adopt this new guidance by the required date and we are currently evaluating the impact that this update will have on our consolidated financial statements. In August 2016, the FASB issued ASU 2016-15, "Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments." This new guidance provides guidance on how to present and classify certain cash receipts and cash payments in the statement of cash flows. This new guidance is effective for fiscal years beginning after December 15, 2017. Early adoption is permitted. We plan to adopt this new guidance by the required date and we are currently evaluating the impact that this update will have on our consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, "Financial Instruments - Credit Losses." This new guidance provides a new impairment model that is based on expected losses rather than incurred losses to determine the allowance for credit losses. This new guidance is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted for fiscal year beginning December 15, 2018. We plan to adopt this new guidance by the required date and we are currently evaluating the impact that this update will have on our consolidated financial statements. In February 2016, the FASB issued ASU 2016-02, "Leases." This new guidance requires lessees to recognize most leases on their balance sheet as a right-of-use asset and a lease liability. This new guidance retains a dual lease accounting model, which requires leases to be classified as either operating or capital leases for lessees, for purposes of income statement recognition. This new guidance is effective for fiscal years beginning after December 15, 2018. Early adoption is permitted. We plan to adopt this new guidance by the required date and we are currently evaluating the impact that this update will have on our consolidated financial statements. In January 2016, the FASB issued ASU 2016-01, "Recognition and Measurement of Financial Assets and Financial Liabilities." This new guidance amends accounting related to the classification and measurement of investments in equity securities and the presentation of certain fair value changes for financial liabilities measured at fair value. This new guidance also amends certain disclosure requirements associated with the fair value of financial instruments and it is effective for fiscal years beginning after December 15, 2017. We plan to adopt this new guidance by the required date and we are currently evaluating the impact that this update will have on our consolidated financial statements. In May 2014, the FASB issued ASU 2014-09, “Revenue from Contracts with Customers.” The update modifies the guidance companies use to recognize revenue from contracts with customers for transfers of goods or services and transfers of nonfinancial assets, unless those contracts are within the scope of other standards. The guidance also requires new qualitative and quantitative disclosures, including information about contract balances and performance obligations. In July 2015, the FASB approved a one year deferral of the effective date. Accordingly, the update is effective for us in the first quarter of 2018 with retrospective application to prior periods presented or as a cumulative effect adjustment in the period of adoption. Early adoption is permitted in the first quarter of 2017. In March 2016, the FASB issued ASU 2016-08, "Revenue from Contracts with Customers (Topic 606): Principal versus Agent Considerations (Reporting Revenue Gross versus Net)." This new guidance provides additional implementation guidance on how an entity should identify the unit of accounting for the principal versus agent evaluations. In May 2016, the FASB issued ASU 2016-12, "Revenue from Contracts with Customers (Topic 606): Narrow-Scope Improvements and Practical Expedients." This new ASU provides more specific guidance on certain aspects of Topic 606. Based on our initial evaluation of these new accounting standards, we do not expect that their adoption will have a material impact on our consolidated financial statements, as financial instruments are explicitly scoped out of the standard and nearly all of our income is generated from financial instruments. We will continue evaluating this new standard and caution that any changes in our business or additional amendments to this standard could change our initial assessment. Balance Sheet Netting Certain of our derivatives and short-term debt are subject to master netting arrangements or similar agreements. Under GAAP, in certain circumstances we may elect to present certain financial assets, liabilities and related collateral subject to master netting arrangements in a net position on our consolidated balance sheets. However, we do not report any of these financial assets or liabilities on a net basis, and instead present them on a gross basis on our consolidated balance sheets. The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at December 31, 2016 and December 31, 2015. Table 3.1 – Offsetting of Financial Assets, Liabilities, and Collateral
For each category of financial instrument set forth in the table above, the assets and liabilities resulting from individual transactions within that category between us and a counterparty are subject to a master netting arrangement or similar agreement with that counterparty that provides for individual transactions to be aggregated and treated as a single transaction. For certain categories of these instruments, some of our transactions are cleared and settled through one or more clearinghouses that are substituted as our counterparty. References herein to master netting arrangements or similar agreements include the arrangements and agreements governing the clearing and settlement of these transactions through the clearinghouses. In the event of the termination and close-out of any of those transactions, the corresponding master netting agreement or similar agreement provides for settlement on a net basis. Any such settlement would include the proceeds of the liquidation of any corresponding collateral, subject to certain limitations on termination, settlement, and liquidation of collateral that may apply in the event of the bankruptcy or insolvency of a party. Such limitations should not inhibit the eventual practical realization of the principal benefits of those transactions or the corresponding master netting arrangement or similar agreement and any corresponding collateral. |
Principles of Consolidation |
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Organization, Consolidation and Presentation of Financial Statements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principles of Consolidation | Principles of Consolidation GAAP requires us to consider whether securitizations we sponsor and other transfers of financial assets should be treated as sales or financings, as well as whether any VIEs that we hold variable interests in – for example, certain legal entities often used in securitization and other structured finance transactions – should be included in our consolidated financial statements. The GAAP principles we apply require us to reassess our requirement to consolidate VIEs each quarter and therefore our determination may change based upon new facts and circumstances pertaining to each VIE. This could result in a material impact to our consolidated financial statements during subsequent reporting periods. Analysis of Consolidated VIEs As of December 31, 2016, we consolidated certain Sequoia securitization entities issued prior to 2012 that we determined were VIEs and for which we determined we were the primary beneficiary. As discussed in Note 2, we previously consolidated our Commercial Securitization through the second quarter of 2016 and our Residential Resecuritization through the fourth quarter of 2015. Each of these entities is independent of Redwood and of each other and the assets and liabilities of these entities are not owned by and are not legal obligations of ours. Our exposure to these entities is primarily through the financial interests we have retained, although we are exposed to certain financial risks associated with our role as a sponsor, manager, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. The following table presents a summary of the assets and liabilities of these VIEs. Intercompany balances have been eliminated for purposes of this presentation. Table 4.1 – Assets and Liabilities of Consolidated VIEs
We consolidate the assets and liabilities of certain Sequoia securitization entities, as we did not meet the GAAP sale criteria at the time we transferred financial assets to these entities. Our involvement in consolidated Sequoia entities continues in the following ways: (i) we continue to hold subordinate investments in each entity, and for certain entities, more senior investments; (ii) we maintain certain discretionary rights associated with our sponsorship of, or our subordinate investments in, each entity; and (iii) we continue to hold a right to call the assets of certain entities (once they have been paid down below a specified threshold) at a price equal to, or in excess of, the current outstanding principal amount of the entity’s asset-backed securities issued. These factors have resulted in our continuing to consolidate the assets and liabilities of these Sequoia entities in accordance with GAAP. Analysis of Unconsolidated VIEs with Continuing Involvement Since 2012, we have transferred residential loans to 29 Sequoia securitization entities sponsored by us and accounted for these transfers as sales for financial reporting purposes, in accordance with ASC 860. We also determined we were not the primary beneficiary of these VIEs as we lacked the power to direct the activities that will have the most significant economic impact on the entities. For the transferred loans where we held the servicing rights prior to the transfer and continue to hold the servicing rights, we recorded MSRs on our consolidated balance sheets, and classified those MSRs as Level 3 assets. We also retained senior and subordinate securities in these securitizations that we classified as Level 3 assets. Our continuing involvement in these securitizations is limited to customary servicing obligations associated with retaining residential MSRs (which we retain a third-party sub-servicer to perform) and the receipt of interest income associated with the securities we retained. During the years ended December 31, 2016 and 2015, we transferred residential loans to three and four Sequoia securitization entities sponsored by us, respectively, and accounted for these transfers as sales for financial reporting purposes. The following table presents information related to securitization transactions that occurred during the years ended December 31, 2016 and 2015. Table 4.2 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood
The following table summarizes the cash flows during the years ended December 31, 2016 and 2015 between us and the unconsolidated VIEs sponsored by us and accounted for as sales since 2012. Table 4.3 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood
The following table presents the key weighted average assumptions used to measure MSRs and securities retained at the date of securitization for securitizations completed during 2016 and 2015. Table 4.4 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood
The following table presents additional information at December 31, 2016 and December 31, 2015, related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.5 – Unconsolidated VIEs Sponsored by Redwood
The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at December 31, 2016 and December 31, 2015. Table 4.6 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood
Analysis of Third-Party VIEs Third-party VIEs are securitization entities in which we maintain an economic interest, but do not sponsor. Our economic interest may include several securities from the same third-party VIE, and in those cases, the analysis is performed in consideration of all of our interests. The following table presents a summary of our interests in third-party VIEs at December 31, 2016, grouped by security type. Table 4.7 – Third-Party Sponsored VIE Summary
We determined that we are not the primary beneficiary of any third-party VIEs, as we do not have the required power to direct the activities that most significantly impact the economic performance of these entities. Specifically, we do not service or manage these entities or otherwise solely hold decision making powers that are significant. As a result of this assessment, we do not consolidate any of the underlying assets and liabilities of these third-party VIEs – we only account for our specific interests in them. Our assessments of whether we are required to consolidate a VIE may change in subsequent reporting periods based upon changing facts and circumstances pertaining to each VIE. Any related accounting changes could result in a material impact to our financial statements. |
Fair Value of Financial Instruments |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Financial Instruments | Fair Value of Financial Instruments For financial reporting purposes, we follow a fair value hierarchy established under GAAP that is used to determine the fair value of financial instruments. This hierarchy prioritizes relevant market inputs in order to determine an “exit price” at the measurement date, or the price at which an asset could be sold or a liability could be transferred in an orderly process that is not a forced liquidation or distressed sale. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices for an asset or liability that are obtained through corroboration with observable market data. Level 3 inputs are unobservable inputs (e.g., our own data or assumptions) that are used when there is little, if any, relevant market activity for the asset or liability required to be measured at fair value. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. Our assessment of the significance of a particular input requires judgment and considers factors specific to the asset or liability being measured. The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at December 31, 2016 and December 31, 2015. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities
During the years ended December 31, 2016 and 2015, we elected the fair value option for $5 million and $236 million of residential senior securities, $288 million and $164 million of subordinate securities, $4.85 billion and $10.21 billion of residential loans (principal balance), $38 million and $618 million of commercial loans (principal balance), and $25 million and $95 million of MSRs, respectively. We anticipate electing the fair value option for all future purchases of residential loans that we intend to sell to third parties or transfer to securitizations as well as for MSRs purchased or retained from sales of residential loans. The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at December 31, 2016 and December 31, 2015, as well as the fair value hierarchy of the valuation inputs used to measure fair value. Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis
The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the years ended December 31, 2016 and December 31, 2015. Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis
The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at December 31, 2016, 2015, and 2014. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the years ended December 31, 2016, 2015, and 2014 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at December 31, 2016, 2015, and 2014 Included in Net Income
The following table presents information on assets recorded at fair value on a non-recurring basis at December 31, 2016 and December 31, 2015. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at December 31, 2016 and December 31, 2015. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis
The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the years ended December 31, 2016, 2015, and 2014. Table 5.6 – Market Valuation Gains and Losses, Net
Valuation Policy We maintain a policy that specifies the methodologies we use to value different types of financial instruments. Significant changes to the valuation methodologies are reviewed by members of senior management to confirm the changes are appropriate and reasonable. Valuations based on information from external sources are performed on an instrument-by-instrument basis with the resulting amounts analyzed individually against internal calculations as well as in the aggregate by product type classification. Initial valuations are performed by our portfolio management groups using the valuation processes described below. Our finance department then independently reviews all fair value estimates using available market, portfolio, and industry information to ensure they are reasonable. Finally, members of senior management review all fair value estimates, including an analysis of the methodology and valuation changes from prior reporting periods. Valuation Process We estimate fair values for financial assets or liabilities based on available inputs observed in the marketplace as well as unobservable inputs. We primarily use two pricing valuation techniques: market comparable pricing and discounted cash flow analysis. Market comparable pricing is used to determine the estimated fair value of certain instruments by incorporating known inputs and performance metrics, such as observed prepayment rates, delinquencies, severities, credit support, recent transaction prices, pending transactions, or prices of other similar instruments. Discounted cash flow analysis techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument and then discounting those cash flows at a rate of return that results in an estimate of fair value. After considering all available indications of the appropriate rate of return that market participants would require, we consider the reasonableness of the range indicated by the results to determine an estimate that is most representative of fair value. We also consider counterparty credit quality and risk as part of our fair value assessments. The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value. Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments
Determination of Fair Value A description of the instruments measured at fair value as well as the general classification of such instruments pursuant to the Level 1, Level 2, and Level 3 valuation hierarchy is listed herein. We generally use both market comparable information and discounted cash flow modeling techniques to determine the fair value of our Level 3 assets and liabilities. Use of these techniques requires determination of relevant inputs and assumptions, some of which represent significant unobservable inputs as indicated in the preceding table. Accordingly, a significant increase or decrease in any of these inputs – such as anticipated credit losses, prepayment rates, interest rates, or other valuation assumptions – in isolation would likely result in a significantly lower or higher fair value measurement. Residential loans Estimated fair values for residential loans are determined using models that incorporate various observable inputs, including pricing information from recent whole loan sales and securitizations. Certain significant inputs in these models are considered unobservable and are therefore Level 3 in nature. Pricing inputs obtained from market whole loan transaction activity include indicative spreads to indexed TBA prices and indexed swap rates for fixed-rate loans and indexed swap rates for hybrid loans (Level 3). Pricing inputs obtained from market securitization activity include indicative spreads to indexed TBA prices for senior RMBS, indexed swap rates for subordinate RMBS, and credit support levels (Level 3). Other unobservable inputs also include assumed future prepayment rates. Observable inputs include benchmark interest rates, swap rates, and TBA prices. At December 31, 2016, our jumbo fixed-rate loans that were not committed to sell were priced exclusively using whole loan sale inputs. These assets would generally decrease in value based upon an increase in the credit spread, prepayment speed, or credit support assumptions. Commercial loans Estimated fair values for mezzanine commercial loans are determined by both market comparable pricing and discounted cash flow analysis valuation techniques (Level 3). Our discounted cash flow models utilize certain significant unobservable inputs including the underwritten net operating income and debt coverage ratio assumptions and actual performance relative to those underwritten metrics as well as estimated market discount rates. In certain cases, commercial loans are valued based on third-party offers for the loans (Level 2). An increase in market discount rates would generally reduce the estimated fair value of the commercial loans. Real estate securities Real estate securities include residential, commercial, and other asset-backed securities that are generally illiquid in nature and trade infrequently. Significant inputs in the valuation analysis are predominantly Level 3 in nature, due to the lack of readily available market quotes and related inputs. For real estate securities, we utilize both market comparable pricing and discounted cash flow analysis valuation techniques. Relevant market indicators that are factored into the analysis include bid/ask spreads, the amount and timing of credit losses, interest rates, and collateral prepayment rates. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). These cash flow models use significant unobservable inputs such as a discount rate, prepayment rate, default rate, loss severity and credit support. The estimated fair value of our securities would generally decrease based upon an increase in default rates, serious delinquencies, or a decrease in prepayment rates or credit support. As part of our securities valuation process, we request and consider indications of value from third-party securities dealers. For purposes of pricing our securities at December 31, 2016, we received dealer price indications on 67% of our securities, representing 78% of our carrying value. In the aggregate, our internal valuations of the securities for which we received dealer price indications were within 1% of the aggregate average dealer valuations. Once we receive the price indications from dealers, they are compared to other relevant market inputs, such as actual or comparable trades, and the results of our discounted cash flow analysis. In circumstances where relevant market inputs cannot be obtained, increased reliance on discounted cash flow analysis and management judgment are required to estimate fair value. Derivative assets and liabilities Our derivative instruments include swaps, swaptions, TBAs, financial futures, CMBX credit default index swaps, loan purchase commitments ("LPCs"), and forward sale commitments ("FSCs"). Fair values of derivative instruments are determined using quoted prices from active markets, when available, or from valuation models and are supported by valuations provided by dealers active in derivative markets. Fair values of TBAs and financial futures are generally obtained using quoted prices from active markets (Level 1). Our derivative valuation models for swaps and swaptions require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates, and correlations of certain inputs. Model inputs can generally be verified and model selection does not involve significant management judgment (Level 2). LPC fair values for conforming loans are estimated based on quoted Agency MBS prices, estimates of the fair value of the MSRs we expect to retain in the sale of the loans, and the probability that the mortgage loan will be purchased (Level 3). FSC fair values for conforming loans are obtained using quoted Agency prices. LPC fair values for jumbo loans are estimated based on the estimated fair values of the underlying loans (as described in "Residential loans" above) as well as the probability that the mortgage loan will be purchased (the "Pull-through rate") (Level 3). For other derivatives, valuations are based on various factors such as liquidity, bid/ask spreads, and credit considerations for which we rely on available market inputs. In the absence of such inputs, management’s best estimate is used (Level 3). MSRs MSRs include the rights to service jumbo and conforming residential mortgage loans. Significant inputs in the valuation analysis are predominantly Level 3, due to the nature of these instruments and the lack of readily available market quotes. Changes in the fair value of MSRs occur primarily due to the collection/realization of expected cash flows, as well as changes in valuation inputs and assumptions. Estimated fair values are based on applying the inputs to generate the net present value of estimated future MSR income (Level 3). These discounted cash flow models utilize certain significant unobservable inputs including market discount rates, assumed future prepayment rates of serviced loans, and the market cost of servicing. An increase in these unobservable inputs would generally reduce the estimated fair value of the MSRs. As part of our MSR valuation process, we received a valuation estimate from a third-party valuations firm. In the aggregate, our internal valuation of the MSRs were within 1% of the third-party valuation. FHLBC Stock Our Federal Home Loan Bank ("FHLB") member subsidiary is required to purchase Federal Home Loan Bank of Chicago ("FHLBC") stock under a borrowing agreement between our FHLB-member subsidiary and the FHLBC. Under this agreement, the stock is redeemable at face value, which represents the carrying value and fair value of the stock (Level 2). Guarantee Asset The guarantee asset represents the estimated fair value of cash flows we are contractually entitled to receive related to a risk sharing arrangement with Fannie Mae. Significant inputs in the valuation analysis are Level 3, due to the nature of this asset and the lack of market quotes. The fair value of the guarantee asset is determined using a discounted cash flow model, for which significant unobservable inputs include assumed future prepayment rates and market discount rate (Level 3). An increase in prepayment rates or discount rate would generally reduce the estimated fair value of the guarantee asset. Pledged Collateral Pledged collateral consists of cash and U.S. Treasury securities held by a custodian in association with certain agreements we have entered into. Treasury securities are carried at their fair value, which is determined using quoted prices in active markets (Level 1). Cash and cash equivalents Cash and cash equivalents include cash on hand and highly liquid investments with original maturities of three months or less. Fair values equal carrying values (Level 1). Restricted cash Restricted cash primarily includes interest-earning cash balances at consolidated Sequoia entities and at the Residential Resecuritization and Commercial Securitization entities for the purpose of distribution to investors and reinvestment. Due to the short-term nature of the restrictions, fair values approximate carrying values (Level 1). Accrued interest receivable and payable Accrued interest receivable and payable includes interest due on our assets and payable on our liabilities. Due to the short-term nature of when these interest payments will be received or paid, fair values approximate carrying values (Level 1). REO REO includes properties owned in satisfaction of foreclosed loans. Fair values are determined using available market quotes, appraisals, broker price opinions, comparable properties, or other indications of value (Level 3). Margin receivable Margin receivable reflects cash collateral we have posted with our various derivative and debt counterparties as required to satisfy margin requirements. Fair values approximate carrying values (Level 2). Guarantee Obligations In association with our risk sharing transactions with the Agencies, we have made certain guarantees. These obligations are initially recorded at fair value and subsequently carried at amortized cost. Fair values of guarantee obligations are determined using internal models that incorporate certain significant inputs that are considered unobservable and are therefore Level 3 in nature. Pricing inputs include assumed future prepayment rates, credit losses, and market discount rates. An increase in discount rates or loss rates, or a decrease in prepayment rates, would reduce the estimated fair value of the guarantee obligations. Short-term debt Short-term debt includes our credit facilities that mature within one year. As these borrowings are secured and subject to margin calls and as the rates on these borrowings reset frequently to market rates, we believe that carrying values approximate fair values (Level 2). ABS issued ABS issued includes asset-backed securities issued through the Sequoia, Residential Resecuritization, and Commercial Securitization entities. These instruments are generally illiquid in nature and trade infrequently. Significant inputs in the valuation analysis are predominantly Level 3, due to the nature of these instruments and the lack of readily available market quotes. For ABS issued, we utilize both market comparable pricing and discounted cash flow analysis valuation techniques. Relevant market indicators factored into the analysis include bid/ask spreads, the amount and timing of collateral credit losses, interest rates, and collateral prepayment rates. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). These liabilities would generally decrease in value (become a larger liability) if credit losses decreased or if the prepayment rate or discount rate were to increase. FHLBC Borrowings FHLBC borrowings include amounts borrowed from the FHLBC that are secured, generally by residential mortgage loans. As these borrowings are secured and subject to margin calls and as the rates on these borrowings reset frequently to market rates, we believe that carrying values approximate fair values (Level 2). Convertible notes Convertible notes include unsecured convertible and exchangeable senior notes. Fair values are determined using quoted prices in generally active markets (Level 2). Trust preferred securities and subordinated notes Estimated fair values of trust preferred securities and subordinated notes are determined using discounted cash flow analysis valuation techniques. Significant inputs in the valuation analysis are predominantly Level 3, due to the nature of these instruments and the lack of readily available market quotes. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). |
Residential Loans |
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Residential Loans | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Loans | Residential Loans We acquire residential loans from third-party originators. The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia entities at December 31, 2016 and December 31, 2015. Table 6.1 – Classifications and Carrying Values of Residential Loans
At December 31, 2016, we owned mortgage servicing rights associated with $2.32 billion (principal balance) of consolidated residential loans purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale At Fair Value At December 31, 2016, we owned 1,114 loans held-for-sale at fair value with an aggregate unpaid principal balance of $0.83 billion and a fair value of $0.83 billion, compared to 1,763 loans with an aggregate unpaid principal balance of $1.09 billion and a fair value of $1.11 billion at December 31, 2015. At December 31, 2016, none of these loans were greater than 90 days delinquent or in foreclosure. At December 31, 2015, one of these loans with a fair value of $1 million was greater than 90 days delinquent and one of these loans with a fair value of $1 million was in foreclosure. During the years ended December 31, 2016 and 2015, we purchased $4.85 billion and $10.21 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $4.04 billion and $9.04 billion (principal balance) of loans, respectively, for which we recorded net market valuation gains of $6 million and $4 million, respectively, through Mortgage banking activities, net on our consolidated statements of income. At December 31, 2016, loans held-for-sale with a market value of $534 million were pledged as collateral under short-term borrowing agreements. At Lower of Cost or Fair Value At December 31, 2016 and December 31, 2015, we held seven and nine residential loans, respectively, at the lower of cost or fair value with $2 million in outstanding principal balance for both periods and a carrying value of $1 million for both periods. At December 31, 2016, one of these loans with an unpaid principal balance of $0.3 million was greater than 90 days delinquent and none of these loans were in foreclosure. At December 31, 2015, one of these loans with an unpaid principal balance of $0.4 million was greater than 90 days delinquent and one of these loans with an unpaid principal balance of $0.1 million was in foreclosure. Residential Loans Held-for-Investment at Fair Value At Redwood At December 31, 2016, we owned 3,068 held-for-investment loans at Redwood with an aggregate unpaid principal balance of $2.23 billion and a fair value of $2.26 billion, compared to 2,398 loans with an aggregate unpaid principal balance of $1.76 billion and a fair value of $1.79 billion at December 31, 2015. At December 31, 2016, one of these loans was greater than 90 days delinquent and none of these loans were in foreclosure. At December 31, 2015, none of these loans were greater than 90 days delinquent or in foreclosure. During the years ended December 31, 2016 and 2015, we transferred loans with a fair value of $1.06 billion and $1.50 billion, respectively, from held-for-sale to held-for-investment. During the years ended December 31, 2016 and 2015, we transferred loans with a fair value of $56 million and $143 million, respectively, from held-for-investment to held-for-sale. During the years ended December 31, 2016 and 2015, we recorded net market valuation losses of $23 million and $6 million, respectively, on residential loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income. At December 31, 2016, loans with a fair value of $2.25 billion were pledged as collateral under a borrowing agreement with the FHLBC. The outstanding loans held-for-investment at Redwood at December 31, 2016 were prime-quality, first lien loans, of which 89% were originated between 2014 and 2016, 5% were originated in 2013, and 6% were originated in 2012 and prior years. The weighted average FICO score of borrowers backing these loans was 773 (at origination) and the weighted average loan-to-value ("LTV") ratio of these loans was 65% (at origination). At December 31, 2016, these loans were comprised of 99.5% fixed-rate loans with a weighted average coupon of 4.10%, and the remainder were hybrid or ARM loans with a weighted average coupon of 3.83%. At Consolidated Sequoia Entities At December 31, 2016, we owned 3,735 held-for-investment loans at consolidated Sequoia entities, with an aggregate unpaid principal balance of $887 million and a fair value of $792 million, as compared to 4,545 loans at December 31, 2015 with an aggregate unpaid balance of $1.12 billion and a fair value of $1.02 billion. At origination, the weighted average FICO score of borrowers backing these loans was 728, the weighted average LTV ratio of these loans was 66%, and the loans were nearly all first lien and prime-quality. At December 31, 2016 and December 31, 2015, the unpaid principal balance of loans at consolidated Sequoia entities delinquent greater than 90 days was $19 million and $27 million, respectively, and the unpaid principal balance of loans in foreclosure was $11 million and $32 million, respectively. During the years ended December 31, 2016 and 2015, we recorded a net market valuation loss of $14 million and a net market valuation gain of $7 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Residential Loan Characteristics The following table presents the geographic concentration of residential loans recorded on our consolidated balance sheets at December 31, 2016 and 2015. Table 6.2 – Geographic Concentration of Residential Loans
The following table displays the loan product type and accompanying loan characteristics of residential loans recorded on our consolidated balance sheets at December 31, 2016 and 2015. Table 6.3 – Product Types and Characteristics of Residential Loans
Allowance for Loan Losses on Residential Loans Upon adoption of ASU 2014-13 on January 1, 2015, we began to record loans held-for-investment at consolidated Sequoia entities at fair value. See Note 3 for further discussion. Prior to the adoption of ASU 2014-13, we established and maintained an allowance for loan losses for residential loans held-for-investment. The allowance included a component for pools of residential loans owned at Sequoia securitization entities that we collectively evaluated for impairment, and a component for loans individually evaluated for impairment that included restructured residential loans at Sequoia entities were determined to be troubled debt restructurings. Activity in the Allowance for Loan Losses on Residential Loans The following table summarizes the activity in the allowance for loan losses for the years ended December 31, 2016, 2015, and 2014. Table 6.4 – Allowance for Loan Losses
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Commercial Loans |
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Loans | Commercial Loans We invest in commercial loans that we historically originated or acquired. In February 2016, we ceased originating commercial loans and in June 2016, we engaged a broker to sell our commercial loan portfolio. As a result, we reclassified most of our loans from held-for-investment to held-for-sale. As discussed further below, during the second half of 2016, we sold all but one of our commercial loans. The following table summarizes the classifications and carrying value of commercial loans at December 31, 2016 and December 31, 2015. Table 7.1 – Classifications and Carrying Value of Commercial Loans
Of the held-for-investment commercial loans at amortized cost shown above at December 31, 2016 and December 31, 2015, zero and $166 million, respectively, were financed through the Commercial Securitization entity, and zero and $135 million, respectively, were pledged as collateral under short-term borrowing arrangements. Commercial Loans Held-for-Sale At Fair Value In June 2016, we transferred commercial mezzanine loans with an unpaid principal balance of $67 million and a carrying value of $70 million from held-for-investment at fair value to held-for-sale at fair value. During the third quarter of 2016, we sold and derecognized all of our remaining commercial loans held-for-sale at fair value. At December 31, 2015, commercial loans held-for-sale at fair value included four senior commercial mortgage loans with an aggregate outstanding principal balance of $39 million and an aggregate fair value of $39 million. During the years ended December 31, 2016 and 2015, we originated $38 million and $618 million (principal balance), respectively, of senior commercial loans for which we elected the fair value option and sold $76 million and $741 million (principal balance), respectively, of loans to third parties. During the years ended December 31, 2016 and 2015, we recorded net market valuation gains of $0.4 million and $10 million, respectively, on senior commercial mortgage loans for which we elected the fair value option through Mortgage banking activities, net on our consolidated statements of income. At Lower of Cost or Fair Value Commercial loans held-for-sale at the lower of cost or fair value primarily include mezzanine loans that are secured by a borrower’s ownership interest in a single purpose entity that owns commercial property. At December 31, 2016, we held one commercial loan at the lower of cost or fair value with $3 million in outstanding principal balance, a carrying value of $3 million, and an estimated net fair value of $3 million. In June 2016, we transferred loans with an unpaid principal balance of $237 million and a carrying value of $233 million from held-for-investment at amortized cost to held-for-sale at the lower of cost or fair value, resulting from our decision to sell these loans. As we determined that the fair value of these loans was greater than their carrying value, we recorded the loans at their then current amortized cost, eliminating $4 million of net purchase discount and establishing a valuation adjustment of $4 million. During the third quarter of 2016, we entered into an agreement with a third party to sell most of our remaining commercial mezzanine loans and, as of December 31, 2016, had completed the sale of loans with a principal balance of $218 million, for which we recorded gains of $5 million through Realized gains, net on our consolidated statements of income. At December 31, 2016, we held one loan with a carrying value of $3 million. During the third quarter of 2016, this loan experienced a technical default and we recorded a valuation adjustment of $0.3 million through Investment fair value changes, net on our consolidated statements of income. During the fourth quarter of 2016, this loan's default was cured through a forbearance. In addition, during 2016, $16 million of lower of cost or fair value loans prepaid, resulting in yield maintenance fees of $2 million. Commercial Loans Held-for-Investment At Fair Value Commercial loans held-for-investment at fair value included senior mortgage loans for which we elected the fair value option and split into senior A-notes and junior B-notes. Although the A-notes for each of the loans were sold, the transfers did not qualify for sale accounting treatment and we treated the sales as secured borrowings. We carried the A-notes and associated secured commercial borrowings at the same fair values and the periodic valuation adjustments associated with these assets and liabilities offset through Investment fair value changes, net on our consolidated statements of income. As discussed above, in June 2016, we transferred all of our then outstanding commercial loans held-for-investment at fair value to held-for-sale at fair value. At Amortized Cost Commercial loans held-for-investment primarily included mezzanine loans secured by a borrower’s ownership interest in a single purpose entity that owns commercial property. As described above, in June 2016, we transferred most of our held-for-investment loans to held-for-sale. The following table provides additional information for our commercial loans held-for-investment at amortized cost at December 31, 2016 and December 31, 2015. Table 7.2 – Carrying Value for Commercial Loans Held-for-Investment at Amortized Cost
At December 31, 2016 and December 31, 2015, we held zero and 59, respectively, commercial loans held-for-investment at amortized cost. During the years ended December 31, 2016 and 2015, we originated or acquired zero and $22 million, respectively, of commercial loans held-for-investment at amortized cost. During the years ended December 31, 2016 and December 31, 2015, we received repayments of $70 million and $57 million, respectively, and in connection with certain loan prepayments, we received $5 million and $4 million, respectively, of yield maintenance fees. Allowance for Loan Losses on Commercial Loans For commercial loans classified as held-for-investment, we established and maintained an allowance for loan losses. The allowance included a component for loans collectively evaluated for impairment and a component for loans individually evaluated for impairment. During the second quarter of 2016, we transferred most of our held-for-investment loans to held-for-sale and recorded a reversal of provision for loan losses. This was based on our determination that the fair market value of these loans was higher than their amortized cost basis. As such, no valuation adjustment for the held-for-sale loans was charged against the allowance for loan losses during that quarter and the previously outstanding allowance associated with these loans was eliminated and a reversal of provision for loan losses was recorded in the second quarter of 2016. During the third quarter of 2016, our remaining commercial loans held-for-investment were repaid in full and, as result, we reversed our remaining provision for loan losses. The following table presents the principal balance of commercial loans held-for-investment by risk category. Table 7.3 – Principal Balance of Commercial Loans Held-for-Investment by Risk Category
The following table summarizes the activity in the allowance for commercial loan losses for the years ended December 31, 2016, 2015, and 2014. Table 7.4 – Activity in the Allowance for Commercial Loan Losses
At December 31, 2016, we had no outstanding loans and at December 31, 2015, all of our commercial loans collectively evaluated for impairment were current. The following table summarizes the balances for loans collectively evaluated for impairment at December 31, 2016 and December 31, 2015. Table 7.5 – Loans Collectively Evaluated for Impairment Review
Commercial Loans Individually Evaluated for Impairment We did not have any loans individually evaluated for impairment for either of the years ended December 31, 2016 or 2015. |
Real Estate Securities |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Securities | Real Estate Securities We invest in real estate securities. The following table presents the fair values of our real estate securities by type at December 31, 2016 and December 31, 2015. Table 8.1 – Fair Values of Real Estate Securities by Type
Our real estate securities include mortgage backed securities, which are presented in accordance with their general position within a securitization structure based on their rights to cash flows. Senior securities are those interests in a securitization that generally have the first right to cash flows and are last in line to absorb losses. Re-REMIC securities, as presented herein, were created through the resecuritization of certain senior security interests to provide additional credit support to those interests. These re-REMIC securities are therefore subordinate to the remaining senior security interests, but senior to any subordinate tranches of the securitization from which they were created. Subordinate securities are all interests below senior and re-REMIC interests. We further separate our subordinate securities into mezzanine and subordinate, where mezzanine includes securities initially rated AA through BBB- and issued in 2012 or later. Trading Securities The following table presents the fair value of trading securities by position and collateral type at December 31, 2016 and December 31, 2015. Table 8.2 – Trading Securities by Position and Collateral Type
We elected the fair value option for certain securities and classify them as trading securities. Our trading securities are primarily comprised of residential and commercial mortgage backed securities. At December 31, 2016 and 2015, our senior trading securities included $37 million of interest-only securities, for which there is no principal balance, and the remaining unpaid principal balance of our senior trading securities was zero and $217 million, respectively, and our subordinate trading securities had an unpaid principal balance of $434 million and $168 million, respectively. At December 31, 2016 and December 31, 2015, subordinate trading securities included $187 million and $48 million, respectively, of Agency residential mortgage credit risk transfer (or "CRT") securities, $15 million and $10 million, respectively, of Sequoia securities, $115 million and $83 million, respectively, of other third party residential securities, and $92 million and $8 million, respectively, of third-party commercial mortgage backed securities. During the years ended December 31, 2016 and 2015, we acquired $307 million and $383 million (principal balance), respectively, of senior and subordinate securities for which we elected the fair value option and classified as trading, and sold $241 million and $18 million, respectively, of such securities. During the years ended December 31, 2016 and 2015, we recorded net market valuation gains of $11 million and net market valuation losses of $17 million, respectively, on trading securities, included in Investment fair value changes, net and Mortgage banking activities, net on our consolidated statements of income. At December 31, 2016, trading securities with a carrying value of $146 million were pledged as collateral under short-term borrowing agreements. See Note 12 for additional information on short-term debt. AFS Securities The following table presents the fair value of our available-for-sale securities by position and collateral type at December 31, 2016 and December 31, 2015. Table 8.3 – Available-for-Sale Securities by Position and Collateral Type
At December 31, 2016 and December 31, 2015, all of our available-for-sale securities were comprised of residential mortgage backed securities. At December 31, 2016, AFS securities with a carrying value of $216 million were pledged as collateral under short-term borrowing agreements. See Note 12 for additional information on short-term debt. During the years ended December 31, 2016 and 2015, we purchased $35 million and $33 million of AFS securities, respectively, and sold $253 million and $366 million of AFS securities, respectively, which resulted in net realized gains of $21 million and $34 million, respectively. In addition, during 2016 we exchanged our interests in four Re-REMICs, which together had a fair value of $77 million, for the senior securities underlying the Re-REMICs, and reclassified our interests from Re-REMIC to senior prime. We often purchase AFS securities at a discount to their outstanding principal balances. To the extent we purchase an AFS security that has a likelihood of incurring a loss, we do not amortize into income the portion of the purchase discount that we do not expect to collect due to the inherent credit risk of the security. We may also expense a portion of our investment in the security to the extent we believe that principal losses will exceed the purchase discount. We designate any amount of unpaid principal balance that we do not expect to receive, and thus do not expect to earn or recover, as a credit reserve on the security. Any remaining net unamortized discounts or premiums on the security are amortized into income over time using the effective yield method. At December 31, 2016, there were $1 million of AFS securities with contractual maturities less than five years, $1 million with contractual maturities greater than five years but less than 10 years, and the remainder of our AFS securities had contractual maturities greater than 10 years. The following table presents the components of carrying value (which equals fair value) of AFS securities at December 31, 2016 and December 31, 2015. Table 8.4 – Carrying Value of AFS Securities
The following table presents the changes for the years ended December 31, 2016 and 2015, in unamortized discount and designated credit reserves on residential AFS securities. Table 8.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
AFS Securities with Unrealized Losses The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at December 31, 2016 and December 31, 2015. Table 8.6 – Components of Fair Value of Residential AFS Securities by Holding Periods
At December 31, 2016, after giving effect to purchases, sales, and extinguishment due to credit losses, our consolidated balance sheet included 186 AFS securities, of which 19 were in an unrealized loss position and 10 were in a continuous unrealized loss position for 12 consecutive months or longer. At December 31, 2015, our consolidated balance sheet included 224 AFS securities, of which 32 were in an unrealized loss position and 15 were in a continuous unrealized loss position for 12 consecutive months or longer. Evaluating AFS Securities for Other-than-Temporary Impairments Gross unrealized losses on our AFS securities were $3 million at December 31, 2016. We evaluate all securities in an unrealized loss position to determine if the impairment is temporary or other-than-temporary (resulting in an OTTI). At December 31, 2016, we did not intend to sell any of our AFS securities that were in an unrealized loss position, and it is more likely than not that we will not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity. We review our AFS securities that are in an unrealized loss position to identify those securities with losses that are other-than-temporary based on an assessment of changes in expected cash flows for such securities, which considers recent security performance and expected future performance of the underlying collateral. For the year ended December 31, 2016, other-than-temporary impairments related to our AFS securities were $3 million, of which $0.4 million were recognized through our consolidated statements of income and $3 million were recognized in Accumulated other comprehensive income, a component of our consolidated balance sheet. AFS securities for which OTTI is recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. In determining our estimate of cash flows for AFS securities we may consider factors such as structural credit enhancement, past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, which are informed by prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, FICO scores at loan origination, year of origination, loan-to-value ratios, and geographic concentrations, as well as general market assessments. Changes in our evaluation of these factors impacted the cash flows expected to be collected at the OTTI assessment date and were used to determine if there were credit-related adverse cash flows and if so, the amount of credit related losses. Significant judgment is used in both our analysis of the expected cash flows for our AFS securities and any determination of the credit loss component of OTTI. The table below summarizes the significant valuation assumptions we used for our AFS securities in unrealized loss positions at December 31, 2016. Table 8.7 – Significant Valuation Assumptions
The following table details the activity related to the credit loss component of OTTI (i.e., OTTI recognized through earnings) for AFS securities held at December 31, 2016, 2015, and 2014 for which a portion of an OTTI was recognized in other comprehensive income. Table 8.8 – Activity of the Credit Component of Other-than-Temporary Impairments
Gains and losses from the sale of AFS securities are recorded as Realized gains, net, in our consolidated statements of income. The following table presents the gross realized gains and losses on sales and calls of AFS securities for the years ended December 31, 2016, 2015, and 2014. Table 8.9 – Gross Realized Gains and Losses on AFS Securities
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Mortgage Servicing Rights |
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Transfers and Servicing [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Servicing Rights | Mortgage Servicing Rights We invest in mortgage servicing rights associated with residential mortgage loans and contract with licensed sub-servicers to perform all servicing functions for these loans. The following table presents the fair value of MSRs and the aggregate principal amounts of associated loans as of December 31, 2016 and December 31, 2015. Table 9.1 – Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans
The following table presents activity for MSRs for the years ended December 31, 2016, 2015, and 2014. Table 9.2 – Activity for MSRs
We make investments in MSRs through the retention of servicing rights associated with the residential mortgage loans that we acquire and subsequently transfer to third parties or through the direct acquisition of MSRs sold by third parties. We hold our MSR investments at our taxable REIT subsidiary. The following table details the retention and purchase of MSRs during the years ended December 31, 2016 and 2015. Table 9.3 – MSR Additions
The following table presents the components of our MSR income for the ended December 31, 2016, 2015, and 2014. Table 9.4 – Components of MSR Income (Loss), net
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Derivative Financial Instruments |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Financial Instruments | Derivative Financial Instruments The following table presents the fair value and notional amount of our derivative financial instruments at December 31, 2016 and December 31, 2015. Table 10.1 – Fair Value and Notional Amount of Derivative Financial Instruments
Risk Management Derivatives To manage, to varying degrees, risks associated with certain assets and liabilities on our consolidated balance sheets, we may enter into derivative contracts. At December 31, 2016, we were party to swaps and swaptions with an aggregate notional amount of $2.46 billion, TBA agreements sold with an aggregate notional amount of $1.36 billion, and financial futures contracts with an aggregate notional amount of $88 million. At December 31, 2015, we were party to swaps and swaptions with an aggregate notional amount of $2.62 billion, TBA agreements sold with an aggregate notional amount of $2.48 billion, and financial futures contracts with an aggregate notional amount of $78 million. For the years ended December 31, 2016, 2015, and 2014, risk management derivatives had net market valuation gains of $10 million and net market valuation losses of $65 million and $39 million, respectively. These market valuation gains and losses are recorded in Mortgage banking activities, net, Investment fair value changes, net and MSR income (loss), net on our consolidated statements of income. Loan Purchase and Forward Sale Commitments LPCs and FSCs that qualify as derivatives are recorded at their estimated fair values. Net market valuation gains on LPCs and FSCs were $26 million, $50 million, and $14 million for the years ended December 31, 2016, 2015, and 2014, respectively, and were recorded in Mortgage banking activities, net on our consolidated statements of income. Derivatives Designated as Cash Flow Hedges To manage the variability in interest expense related to our long-term debt and certain adjustable-rate securitization entity liabilities that are included in our consolidated balance sheets for financial reporting purposes, we designated certain interest rate swaps as cash flow hedges with an aggregate notional balance of $140 million. For the years ended December 31, 2016, 2015, and 2014, changes in the values of designated cash flow hedges were positive $3 million, negative $1 million, and negative $30 million, respectively, and were recorded in Accumulated other comprehensive income, a component of equity. For interest rate agreements currently or previously designated as cash flow hedges, our total unrealized loss reported in Accumulated other comprehensive income was $44 million and $47 million at December 31, 2016 and December 31, 2015, respectively. Accumulated other comprehensive loss of less than $0.1 million will be amortized into interest expense, a component of our consolidated income statements, over the remaining life of the hedge liabilities. The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the years ended December 31, 2016, 2015, and 2014. Table 10.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges
Derivative Counterparty Credit Risk We incur credit risk to the extent that counterparties to our derivative financial instruments do not perform their obligations under specified contractual agreements. If a derivative counterparty does not perform, we may not receive the proceeds to which we may be entitled under these agreements. Each of our derivative counterparties that is not a clearinghouse must maintain compliance with International Swaps and Derivatives Association (“ISDA”) agreements or other similar agreements (or receive a waiver of non-compliance after a specific assessment) in order to conduct derivative transactions with us. Additionally, we review non-clearinghouse derivative counterparty credit standings, and in the case of a deterioration of creditworthiness, appropriate remedial action is taken. To further mitigate counterparty risk, we exit derivatives contracts with counterparties that (i) do not maintain compliance with (or obtain a waiver from) the terms of their ISDA or other agreements with us; or (ii) do not meet internally established guidelines regarding creditworthiness. Our ISDA and similar agreements currently require full bilateral collateralization of unrealized loss exposures with our derivative counterparties. Through a margin posting process, our positions are revalued with counterparties each business day and cash margin is generally transferred to either us or our derivative counterparties as collateral based upon the directional changes in fair value of the positions. We also attempt to transact with several different counterparties in order to reduce our specific counterparty exposure. With respect to certain of our derivatives, clearing and settlement is through one or more clearinghouses, which may be substituted as a counterparty. Clearing and settlement of derivative transactions through a clearinghouse is also intended to reduce specific counterparty exposure. We consider counterparty risk as part of our fair value assessments of all derivative financial instruments. At December 31, 2016, we assessed this risk as remote and did not record a specific valuation adjustment. At December 31, 2016, we had outstanding derivative agreements with three counterparties (other than clearinghouses) and were in compliance with ISDA agreements governing our open derivative positions. |
Other Assets and Liabilities |
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Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Assets and Liabilities | Other Assets and Liabilities Other assets at December 31, 2016 and December 31, 2015, are summarized in the following table. Table 11.1 – Components of Other Assets
Accrued expenses and other liabilities at December 31, 2016 and December 31, 2015 are summarized in the following table. Table 11.2 – Components of Accrued Expenses and Other Liabilities
Margin Receivable and Payable Margin receivable and payable resulted from margin calls between us and our counterparties under derivatives, master repurchase agreements, and warehouse facilities, whereby we or the counterparty posted collateral. FHLB Stock In accordance with our FHLB-member subsidiary's borrowing agreement with the FHLBC, our subsidiary is required to purchase and hold stock in the FHLBC. See Note 14 for additional detail. Guarantee Asset, Pledged Collateral, and Guarantee Obligations The pledged collateral, guarantee asset, and guarantee obligations presented in the tables above are related to our risk sharing arrangements with Fannie Mae and Freddie Mac. In accordance with these arrangements, we are required to pledge collateral to secure our guarantee obligations. See Note 3 and Note 15 for additional information on our risk sharing arrangements. Investment Receivable and Unsettled Trades In accordance with our policy to record purchases and sales of securities on the trade date, if the trade and settlement of a purchase or sale crosses over a quarterly reporting period, we will record an investment receivable for sales and an unsettled trades liability for purchases. REO The carrying value of REO at December 31, 2016, was $6 million, which includes the net effect of $12 million related to transfers into REO during the year ended December 31, 2016, offset by $13 million of REO liquidations and $2 million of unrealized gains resulting from market valuation adjustments. At both December 31, 2016 and December 31, 2015, there were 23 REO properties recorded on our consolidated balance sheets, all of which were owned at consolidated Sequoia entities. Legal and Repurchase Reserves See Note 15 for additional information on the legal and residential repurchase reserves. Restructuring Accruals In January 2016, we announced plans to restructure certain aspects of our residential mortgage loan operations by ceasing the acquisition and aggregation of conforming loans for resale to the Agencies. Additionally, in February 2016, we announced our plans to restructure our commercial business and no longer originate commercial loans. Finally, in March 2016, we announced the departure of our President effective July 1, 2016. These restructuring activities were substantially completed during the second quarter of 2016. In connection with these activities, we incurred restructuring expenses, including one-time termination benefits, contract termination costs, and other associated costs. During the first quarter of 2016, we established a restructuring liability and recorded restructuring charges totaling $10 million in Operating expenses on our consolidated statements of income, which included $9 million of severance related charges (including $3 million of equity compensation expense) and $2 million of contract termination costs. We currently expect the remaining liabilities to be substantially settled during the next seven months in accordance with the terms of outstanding contracts and employment agreements. For segment reporting, we consider these restructuring charges as corporate charges and included them in the Corporate/Other reconciling column in our business segment financial information tables in Note 22 — Segment Information. The following table presents our restructuring activities and the associated liabilities during the year ended December 31, 2016. Table 11.3 – Activities of Restructuring Liabilities
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Short-Term Debt |
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Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short-Term Debt | Short-Term Debt We enter into repurchase agreements, bank warehouse agreements, and other forms of collateralized (and generally uncommitted) short-term borrowings with several banks and major investment banking firms. At December 31, 2016, we had outstanding agreements with several counterparties and we were in compliance with all of the related covenants. For additional information about these financial covenants and our short-term debt, see Part II, Item 7 of this Annual Report on Form 10-K under the heading “Risks Relating to Debt Incurred Under Short- and Long-Term Borrowing Facilities.” The table below summarizes the facilities that are available to us, the outstanding balances, the weighted average interest rate, and the maturity information of the short-term debt at December 31, 2016 and December 31, 2015. Table 12.1 – Short-Term Debt Facilities
Borrowings under these facilities are generally charged interest based on a specified margin over the one-month LIBOR interest rate. At December 31, 2016, all of these borrowings were under uncommitted facilities and were due within 364 days (or less) of the borrowing date. The fair value of held-for-sale residential loans, commercial loans, and real estate securities pledged as collateral was $534 million, zero, and $363 million, respectively, at December 31, 2016 and $1.07 billion, $152 million, and $827 million, respectively, at December 31, 2015. For the years ended December 31, 2016 and 2015, the average balance of short-term debt was $1.09 billion and $1.67 billion, respectively. At December 31, 2016 and December 31, 2015, accrued interest payable on short-term debt was $3 million and $2 million, respectively. We also maintain a $10 million committed line of credit with a financial institution that is secured by certain mortgage-backed securities with a fair market value of $8 million at December 31, 2016. At both December 31, 2016 and December 31, 2015, we had no outstanding borrowings on this facility. Remaining Maturities of Short-Term Debt The following table presents the remaining maturities of short-term debt by the type of collateral securing the debt at December 31, 2016. Table 12.2 – Short-Term Debt by Collateral Type and Remaining Maturities
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Asset-Backed Securities Issued |
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Debt Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities Issued | Asset-Backed Securities Issued Through our Sequoia securitization program, we sponsor securitization transactions in which ABS backed by residential mortgage loans are issued by Sequoia entities. We consolidated certain Sequoia securitizations issued prior to 2012 that we determined were VIEs and for which we determined we were the primary beneficiary. ABS were also issued by the Commercial Securitization and the Residential Resecuritization, which we also consolidated. During the second quarter of 2016, the debt of the Commercial Securitization was repaid and during the fourth quarter of 2015, the debt of the Residential Resecuritization was repaid. Each consolidated securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood. Our exposure to these entities is primarily through the financial interests we have retained, although we are exposed to certain financial risks associated with our role as a sponsor, manager, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. As a general matter, ABS have been issued by these securitization entities to fund the acquisition of assets from us or from third parties. The ABS issued by these entities consist of various classes of securities that pay interest on a monthly or quarterly basis. Substantially all ABS issued pay variable rates of interest, which are indexed to one-, three-, or six-month LIBOR. Some ABS issued pay fixed rates of interest or pay hybrid rates, which are fixed rates that subsequently adjust to variable rates. ABS issued also includes some interest-only classes with coupons set at a fixed rate or a fixed spread to a benchmark rate, or set at a spread to the interest rates earned on the assets less the interest rates paid on the liabilities of a securitization entity. The carrying values of ABS issued by consolidated securitization entities we sponsored at December 31, 2016 and December 31, 2015, along with other selected information, are summarized in the following table. Table 13.1 – Asset-Backed Securities Issued
The actual maturity of each class of ABS issued is primarily determined by the rate of principal prepayments on the assets of the issuing entity. Each series is also subject to redemption prior to the stated maturity according to the terms of the respective governing documents of each ABS issuing entity. As a result, the actual maturity of ABS issued may occur earlier than its stated maturity. At December 31, 2016, all of the ABS issued and outstanding had contractual maturities beyond five years. Amortization of Commercial Securitization and Residential Resecuritization deferred ABS issuance costs were $0.4 million, $1 million, and $2 million for the years ended December 31, 2016, 2015, and 2014, respectively. The following table summarizes the accrued interest payable on ABS issued at December 31, 2016 and December 31, 2015. Interest due on consolidated ABS issued is payable monthly. Table 13.2 – Accrued Interest Payable on Asset-Backed Securities Issued
The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at December 31, 2016 and December 31, 2015. Table 13.3 – Collateral for Asset-Backed Securities Issued
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Long-Term Debt |
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Debt Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||
Long-Term Debt | Long-Term Debt FHLBC Borrowings In July 2014, our FHLB-member subsidiary entered into a borrowing agreement with the Federal Home Loan Bank of Chicago. At December 31, 2016, under this agreement, our subsidiary could incur borrowings up to $2.00 billion, also referred to as “advances,” from the FHLBC secured by eligible collateral, including residential mortgage loans. During the year ended December 31, 2016, our FHLB-member subsidiary borrowed an additional $519 million under this agreement. Under a final rule published by the Federal Housing Finance Agency in January 2016, our FHLB-member subsidiary will remain an FHLB member through the five-year transition period for captive insurance companies. Our FHLB-member subsidiary's existing $2.00 billion of FHLB debt, which matures beyond this transition period, is permitted to remain outstanding until its stated maturity. As residential loans pledged as collateral for this debt pay down, we are permitted to pledge additional loans or other eligible assets to collateralize this debt; however, we do not expect to be able to increase our subsidiary's FHLB debt above the existing $2.00 billion maximum. At December 31, 2016, $2.00 billion of advances were outstanding under this agreement, which were classified as long-term debt, with a weighted average interest rate of 0.64% and a weighted average maturity of approximately nine years. At December 31, 2015, $1.48 billion of advances were outstanding under this agreement, of which $1.34 billion were classified as long-term debt, with a weighted average interest rate of 0.46% and a weighted average maturity of nine years. Advances under this agreement incur interest charges based on a specified margin over the FHLBC’s 13-week discount note rate, which resets every 13 weeks. Total advances under this agreement were secured by residential mortgage loans with a fair value of $2.25 billion at December 31, 2016. This agreement also requires our subsidiary to purchase and hold stock in the FHLBC in an amount equal to a specified percentage of outstanding advances. At December 31, 2016, our subsidiary held $43 million of FHLBC stock that is included in Other assets in our consolidated balance sheets. The following table presents maturities of our FHLBC borrowings by year at December 31, 2016. Table 14.1 – Maturities of FHLBC Borrowings by Year
For additional information about our FHLBC borrowings, see Part II, Item 7 of this Annual Report on Form 10-K under the heading “Risks Relating to Debt Incurred under Short- and Long-Term Borrowing Facilities.” Commercial Secured Borrowings Commercial secured borrowings resulted from transfers of portions of senior commercial mortgage loans to third parties that did not meet the criteria for sale treatment under GAAP and were accounted for as financings. During the third quarter of 2016, we sold our retained interests in the senior loans that we previously transferred, and we derecognized the secured borrowings and the associated senior portions of the loans from our consolidated balance sheet. Convertible Notes In November 2014, RWT Holdings, Inc., a wholly-owned subsidiary of Redwood Trust, Inc., issued $205 million principal amount of 5.625% exchangeable senior notes due 2019. These exchangeable notes require semi-annual interest payments at a fixed coupon rate of 5.625% until maturity or exchange, which will be no later than November 15, 2019. After deducting the underwriting discount and offering costs, we received $198 million of net proceeds. Including amortization of deferred securities issuance costs, the weighted average interest expense yield on these exchangeable notes is approximately 6.6% per annum. At December 31, 2016, these notes were exchangeable at the option of the holder at an exchange rate of 46.1798 common shares per $1,000 principal amount of exchangeable senior notes (equivalent to an exchange price of $21.65 per common share). Upon exchange of these notes by a holder, the holder will receive shares of our common stock. During the year ended December 31, 2016, we repurchased $4 million par value of these notes at a discount and recorded a gain on extinguishment of debt of $0.3 million in Realized gains, net on our consolidated statements of income. At December 31, 2016, the outstanding principal amount of these notes was $201 million. At December 31, 2016, the accrued interest payable balance on this debt was $2 million and the unamortized deferred issuance costs were $4 million. In March 2013, we issued $288 million principal amount of 4.625% convertible senior notes due 2018. These convertible notes require semi-annual interest payments at a fixed coupon rate of 4.625% until maturity or conversion, which will be no later than April 15, 2018. After deducting the underwriting discount and offering costs, we received $279 million of net proceeds. Including amortization of deferred securities issuance costs, the weighted average interest expense yield on these convertible notes is approximately 5.4% per annum. At December 31, 2016, the accrued interest payable balance on this debt was $4 million and the unamortized deferred issuance costs were $2 million. At December 31, 2016, these notes were convertible at the option of the holder at a conversion rate of 41.1320 common shares per $1,000 principal amount of convertible senior notes (equivalent to a conversion price of $24.31 per common share). Upon conversion of these notes by a holder, the holder will receive shares of our common stock. Trust Preferred Securities and Subordinated Notes At December 31, 2016, we had trust preferred securities and subordinated notes outstanding of $100 million and $40 million, respectively. This debt requires quarterly interest payments at a floating rate equal to three-month LIBOR plus 2.25% until the debt is extinguished. Prior to 2014, we entered into interest rate swaps with aggregate notional values totaling $140 million to hedge the variability in this long-term debt interest expense. Including hedging costs and amortization of deferred securities issuance costs, the weighted average interest expense yield on our trust preferred securities and subordinated notes is approximately 6.9% per annum. At both December 31, 2016 and December 31, 2015, the accrued interest payable balance on our trust preferred securities and subordinated notes was $1 million. Under the terms of this debt, we covenant, among other things, to use our best efforts to continue to qualify as a REIT. If an event of default were to occur in respect of this debt, we would generally be restricted under its terms (subject to certain exceptions) from making dividend distributions to stockholders, from repurchasing common stock or repurchasing or redeeming any other then-outstanding equity securities, and from making any other payments in respect of any equity interests in us or in respect of any then-outstanding debt that is pari passu or subordinate to this debt. |
Commitments and Contingencies |
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Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies | Commitments and Contingencies Lease Commitments At December 31, 2016, we were obligated under four non-cancelable operating leases with expiration dates through 2021 for $5 million of cumulative lease payments. Our operating lease expense was $3 million for each of the years ended December 31, 2016, 2015, and 2014. The following table presents our future lease commitments at December 31, 2016. Table 15.1 – Future Lease Commitments by Year
Leasehold improvements for our offices are amortized into expense over the lease term. There were less than $1 million of unamortized leasehold improvements at December 31, 2016. For each of the years ended December 31, 2016, 2015, and 2014, we recognized less than $0.1 million of leasehold amortization expense. Loss Contingencies — Risk Sharing At December 31, 2016, we had sold conforming loans to the Agencies with an original unpaid principal balance of $3.19 billion, subject to our risk sharing arrangements with the Agencies. At December 31, 2016, the maximum potential amount of future payments we could be required to make under these arrangements was $44 million and this amount was fully collateralized by assets we transferred to pledged accounts and is presented as pledged collateral in Other assets on our consolidated balance sheets. We have no recourse to any third parties that would allow us to recover any amounts related to our obligations under the arrangements. At December 31, 2016, we had incurred losses of less than $0.1 million under these arrangements. For the year ended December 31, 2016, other income related to these arrangements was $5 million and we recorded net market valuation losses of $1 million. All of the loans in the reference pools subject to these risk sharing arrangements were originated in 2014 and 2015, and at December 31, 2016, the loans had an unpaid principal balance of $2.42 billion and a weighted average FICO score of 757 (at origination) and LTV of 77% (at origination). At December 31, 2016, $14 million of the loans were 30 days or more delinquent, $2 million were 90 days or more delinquent, and $1 million were in foreclosure. At December 31, 2016, the carrying value of our guarantee obligation was $22 million and included $10 million designated as a non-amortizing credit reserve, which we believe is sufficient to cover current expected losses under these obligations. Our consolidated balance sheets include assets of special purpose entities ("SPEs") associated with these risk sharing arrangements (i.e., the "pledged collateral" referred to above) that can only be used to settle obligations of these SPEs for which the creditors of these SPEs (the Agencies) do not have recourse to Redwood Trust, Inc. or its affiliates. At December 31, 2016 and December 31, 2015, assets of such SPEs totaled $49 million and $63 million, respectively, and liabilities of such SPEs totaled $22 million and $25 million, respectively. Loss Contingencies — Residential Repurchase Reserve We maintain a repurchase reserve for potential obligations arising from representation and warranty violations related to residential loans we have sold to securitization trusts or third parties and for conforming residential loans associated with MSRs that we have purchased from third parties. We do not originate residential loans and we believe the initial risk of loss due to loan repurchases (i.e., due to a breach of representations and warranties) would generally be a contingency to the companies from whom we acquired the loans. However, in some cases, for example, where loans were acquired from companies that have since become insolvent, repurchase claims may result in our being liable for a repurchase obligation. At December 31, 2016 and December 31, 2015, our repurchase reserve associated with our residential loans and MSRs was $5 million and $6 million, respectively, and was recorded in Accrued expenses and other liabilities on our consolidated balance sheets. We received 59 repurchase requests during the year ended December 31, 2016 and 79 during the year ended December 31, 2015. During the years ended December 31, 2016, 2015, and 2014, we repurchased one loan, zero loans, and one loan, respectively. During the year ended December 31, 2016, we recorded a reversal of repurchase provision of $1 million that was recorded in Mortgage banking activities, net and MSR income (loss), net on our consolidated statements of income and had charge-offs of $0.1 million. During the years ended December 31, 2015 and 2014 we recorded repurchase provisions of $3 million and $2 million, respectively, that were recorded in Mortgage banking activities, net and MSR income (loss), net on our consolidated statements of income, and had charge-offs of zero and $0.1 million, respectively. Loss Contingencies — Litigation On or about December 23, 2009, the Federal Home Loan Bank of Seattle (the “FHLB-Seattle”) filed a complaint in the Superior Court for the State of Washington (case number 09-2-46348-4 SEA) against Redwood Trust, Inc., our subsidiary, Sequoia Residential Funding, Inc. (“SRF”), Morgan Stanley & Co., and Morgan Stanley Capital I, Inc. (collectively, the “FHLB-Seattle Defendants”) alleging that the FHLB-Seattle Defendants made false or misleading statements in offering materials for a mortgage pass-through certificate (the “Seattle Certificate”) issued in the Sequoia Mortgage Trust 2005-4 securitization transaction (the “2005-4 RMBS”) and purchased by the FHLB-Seattle. Specifically, the complaint alleges that the alleged misstatements concern the (1) loan-to-value ratio of mortgage loans and the appraisals of the properties that secured loans supporting the 2005-4 RMBS, (2) occupancy status of the properties, (3) standards used to underwrite the loans, and (4) ratings assigned to the Seattle Certificate. The FHLB-Seattle alleges claims under the Securities Act of Washington (Section 21.20.005, et seq.) and seeks to rescind the purchase of the Seattle Certificate and to collect interest on the original purchase price at the statutory interest rate of 8% per annum from the date of original purchase (net of interest received) as well as attorneys’ fees and costs. The Seattle Certificate was issued with an original principal amount of approximately $133 million, and, at December 31, 2016, the FHLB-Seattle has received approximately $122 million of principal and $11 million of interest payments in respect of the Seattle Certificate. The claims were subsequently dismissed for lack of personal jurisdiction as to Redwood Trust and SRF. At the time the Seattle Certificate was issued, Redwood agreed to indemnify the underwriters of the 2005-4 RMBS for certain losses and expenses they might incur as a result of claims made against them relating to this RMBS, including, without limitation, certain legal expenses. The FHLB-Seattle’s claims against the underwriters of this RMBS were not dismissed and remain pending. Regardless of the outcome of this litigation, we could incur a loss as a result of these indemnities. On or about July 15, 2010, The Charles Schwab Corporation (“Schwab”) filed a complaint in the Superior Court for the State of California in San Francisco (case number CGC-10-501610) against SRF and 26 other defendants (collectively, the “Schwab Defendants”) alleging that the Schwab Defendants made false or misleading statements in offering materials for various residential mortgage-backed securities sold or issued by the Schwab Defendants. Schwab alleged only a claim for negligent misrepresentation under California state law against SRF and sought unspecified damages and attorneys’ fees and costs from SRF. Schwab claims that SRF made false or misleading statements in offering materials for a mortgage pass-through certificate (the “Schwab Certificate”) issued in the 2005-4 RMBS and purchased by Schwab. Specifically, the complaint alleges that the misstatements for the 2005-4 RMBS concern the (1) loan-to-value ratio of mortgage loans and the appraisals of the properties that secured loans supporting the 2005-4 RMBS, (2) occupancy status of the properties, (3) standards used to underwrite the loans, and (4) ratings assigned to the Schwab Certificate. On November 14, 2014, Schwab voluntarily dismissed with prejudice its negligent misrepresentation claim, which resulted in the dismissal with prejudice of SRF from the action. The Schwab Certificate was issued with an original principal amount of approximately $15 million, and, at December 31, 2016, approximately $14 million of principal and $1 million of interest payments have been made in respect of the Schwab Certificate. At the time the Schwab Certificate was issued, Redwood agreed to indemnify the underwriters of the 2005-4 RMBS, which underwriters were also named and remain as defendants in the action, for certain losses and expenses they might incur as a result of claims made against them relating to this RMBS, including, without limitation, certain legal expenses. Regardless of the outcome of this litigation, Redwood could incur a loss as a result of these indemnities. Through certain of our wholly-owned subsidiaries, we have in the past engaged in, and expect to continue to engage in, activities relating to the acquisition and securitization of residential mortgage loans. In addition, certain of our wholly-owned subsidiaries have in the past engaged in activities relating to the acquisition and securitization of debt obligations and other assets through the issuance of collateralized debt obligations (commonly referred to as CDO transactions). Because of this involvement in the securitization and CDO businesses, we could become the subject of litigation relating to these businesses, including additional litigation of the type described above, and we could also become the subject of governmental investigations, enforcement actions, or lawsuits, and governmental authorities could allege that we violated applicable law or regulation in the conduct of our business. As an example, we recently became aware of a complaint filed by the State of California on April 1, 2016 against Morgan Stanley & Co. and certain of its affiliates alleging, among other things, that there were misleading statements contained in offering materials for 28 different mortgage pass-through certificates purchased by various California investors, including various California public pension systems, from Morgan Stanley and alleging that Morgan Stanley made false or fraudulent claims in connection with the sale of those certificates. Of the 28 mortgage pass-through certificates that are the subject of the complaint, two are Sequoia mortgage pass-through certificates issued in 2004 and two are Sequoia mortgage pass-through certificates issued in 2007. With respect to each of those certificates, our wholly-owned subsidiary, RWT Holdings, Inc., was the sponsor and our wholly-owned subsidiary, Sequoia Residential Funding, Inc., was the depositor. At the time these four Sequoia mortgage pass-through certificates were issued, Sequoia Residential Funding, Inc. and Redwood Trust agreed to indemnify the underwriters of these certificates for certain losses and expenses they might incur as a result of claims made against them relating to these certificates, including, without limitation, certain legal expenses. Regardless of the outcome of this litigation, we could incur a loss as a result of these indemnities. In accordance with GAAP, we review the need for any loss contingency reserves and establish reserves when, in the opinion of management, it is probable that a matter would result in a liability and the amount of loss, if any, can be reasonably estimated. Additionally, we record receivables for insurance recoveries relating to litigation-related losses and expenses if and when such amounts are covered by insurance and recovery of such losses or expenses are due. At December 31, 2016, the aggregate amount of loss contingency reserves established in respect of the FHLB-Seattle and Schwab litigation matters described above was $2 million. We review our litigation matters each quarter to assess these loss contingency reserves and make adjustments in these reserves, upwards or downwards, as appropriate, in accordance with GAAP based on our review. In the ordinary course of any litigation matter, including certain of the above-referenced matters, we have engaged and may continue to engage in formal or informal settlement communications with the plaintiffs. Settlement communications we have engaged in relating to certain of the above-referenced litigation matters are one of the factors that have resulted in our determination to establish the loss contingency reserves described above. We cannot be certain that any of these matters will be resolved through a settlement prior to trial and we cannot be certain that the resolution of these matters, whether through trial or settlement, will not have a material adverse effect on our financial condition or results of operations in any future period. Future developments (including resolution of substantive pre-trial motions relating to these matters, receipt of additional information and documents relating to these matters (such as through pre-trial discovery), new or additional settlement communications with plaintiffs relating to these matters, or resolutions of similar claims against other defendants in these matters) could result in our concluding in the future to establish additional loss contingency reserves or to disclose an estimate of reasonably possible losses in excess of our established reserves with respect to these matters. Our actual losses with respect to the above-referenced litigation matters may be materially higher than the aggregate amount of loss contingency reserves we have established in respect of these litigation matters, including in the event that any of these matters proceeds to trial and the plaintiff prevails. Other factors that could result in our concluding to establish additional loss contingency reserves or estimate additional reasonably possible losses, or could result in our actual losses with respect to the above-referenced litigation matters being materially higher than the aggregate amount of loss contingency reserves we have established in respect of these litigation matters include that: there are significant factual and legal issues to be resolved; information obtained or rulings made during the lawsuits could affect the methodology for calculation of the available remedies; and we may have additional obligations pursuant to indemnity agreements, representations and warranties, and other contractual provisions with other parties relating to these litigation matters that could increase our potential losses. |
Equity |
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Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity | Equity The following table provides a summary of changes to accumulated other comprehensive income by component for the years ended December 31, 2016 and 2015. Table 16.1 – Changes in Accumulated Other Comprehensive Income by Component
The following table provides a summary of reclassifications out of accumulated other comprehensive income for the years ended December 31, 2016 and 2015. Table 16.2 – Reclassifications Out of Accumulated Other Comprehensive Income
Earnings per Common Share The following table provides the basic and diluted earnings per common share computations for the years ended December 31, 2016, 2015, and 2014. Table 16.3 – Basic and Diluted Earnings per Common Share
We included participating securities, which are certain equity awards that have non-forfeitable dividend participation rights, in the calculations of basic and diluted earnings per common share as we determined that the two-class method was more dilutive than the alternative treasury stock method for these shares. Dividends and undistributed earnings allocated to participating securities under the basic and diluted earnings per share calculations require specific shares to be included that may differ in certain circumstances. During the year ended December 31, 2016, certain convertible notes were determined to be dilutive and were included in the calculation of diluted EPS under the "if-converted" method. Under this method, the periodic interest expense (net of applicable taxes) for dilutive notes is added back to the numerator and the number of shares that the notes are entitled to (if converted, regardless of whether they are in or out of the money) are included in the denominator. For the year ended December 31, 2016, no common shares related to the assumed conversion of our convertible notes were antidilutive and excluded from the calculation of diluted earnings per share. For the years ended December 31, 2015 and 2014, 21,292,309 and 12,811,041 common shares, respectively, related to the assumed conversion of the convertible notes were antidilutive and were excluded in the calculation of diluted earnings per share. For the years ended December 31, 2016, 2015, and 2014, the number of outstanding equity awards that were antidilutive totaled zero, 103,253, and 59,230, respectively. Stock Repurchases In August 2015, our Board of Directors authorized the repurchase of up to $100 million of our common stock. During the first quarter of 2016, we repurchased 839,130 common shares for $11 million, utilizing the remaining availability under this authorization. In February 2016, our Board of Directors approved an authorization for the repurchase of up to $100 million of our common stock and also authorized the repurchase of outstanding debt securities, including convertible and exchangeable debt. This authorization replaced all previous share repurchase plans and has no expiration date. This repurchase authorization does not obligate us to acquire any specific number of shares or securities. Under this authorization, shares or securities may be repurchased in privately negotiated and/or open market transactions, including under plans complying with Rule 10b5-1 under the Securities Exchange Act of 1934, as amended. Under this authorization, during the year ended December 31, 2016, we repurchased 1,103,924 shares pursuant to this authorization for $14 million. At December 31, 2016, approximately $86 million of this current authorization remained available for the repurchase of shares of our common stock. |
Equity Compensation Plans |
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Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity Compensation Plans | Equity Compensation Plans At December 31, 2016 and December 31, 2015, 1,787,974 and 1,665,032 shares of common stock, respectively, were available for grant under our Incentive Plan. The unamortized compensation cost of awards issued under the Incentive Plan and purchases under the Employee Stock Purchase Plan totaled $18 million at December 31, 2016, as shown in the following table. Table 17.1 – Activities of Equity Compensation Costs by Award Type
At December 31, 2016, the weighted average amortization period remaining for all of our equity awards was less than two years. Restricted Stock The following table summarizes the activities related to restricted stock for the years ended December 31, 2016, 2015, and 2014. Table 17.2 – Restricted Stock Activities
The expenses recorded for restricted stock awards were $1 million for both the years ended December 31, 2016 and December 31, 2015, and less than $1 million for the year ended December 31, 2014. As of December 31, 2016, there was $2 million of unrecognized compensation cost related to unvested restricted stock. This cost will be recognized over a weighted average period of less than two years. Restrictions on shares of restricted stock outstanding lapse through 2020. Deferred Stock Units (“DSUs”) The following table summarizes the activities related to DSUs for the years ended December 31, 2016, 2015, and 2014. Table 17.3 – Deferred Stock Units Activities
We generally grant DSUs annually, as part of our compensation process. In addition, DSUs are granted from time to time in connection with hiring and promotions and in lieu of the payment in cash of a portion of annual bonus earned. At December 31, 2016, 2015, and 2014, the number of outstanding DSUs that were unvested was 908,963, 1,043,606, and 880,962, respectively. The weighted average grant-date fair value of these unvested DSUs was $14.96, $17.22, and $17.20, at December 31, 2016, 2015, and 2014, respectively. Unvested DSUs at December 31, 2016 will vest through 2020. Expenses related to DSUs were $9 million, $7 million, and $6 million for the years ended December 31, 2016, 2015, and 2014, respectively. During the first quarter of 2016, equity compensation expense of $3 million was recognized in connection with the announced departures of two executives due to the full vesting of their DSUs in accordance with the terms of their employment agreements. At December 31, 2016, there was $12 million of unrecognized compensation cost related to unvested DSUs. This cost will be recognized over a weighted average period of less than two years. At December 31, 2016, 2015, and 2014, the number of outstanding DSUs that had vested was 939,899, 1,363,548, and 1,287,862, respectively. Performance Stock Units (“PSUs”) At December 31, 2016 and December 31, 2015, the target number of PSUs that were unvested was 642,879 and 849,021, respectively. During 2016, 2015, and 2014, 194,484, 356,762, and 268,510 target number of PSUs were granted, respectively, with per unit grant date fair values of $13.24, $9.46, and $14.99, respectively. During the year ended December 31, 2016, there were 208,330 target number of PSUs forfeited due to employee departures. During the years ended December 31, 2015 and 2014, no PSUs were forfeited. With respect to the PSUs granted in 2016, vesting will generally occur at the end of three years from their grant date based on four different two-year total shareholder return (“TSR”) performance measurement periods and continued employment through December 13, 2019. For purposes of measuring TSR over a three-year vesting period, the PSUs granted in 2016 are divided into four tranches with staggered two-year performance measurement periods beginning on: the grant date; the three month anniversary of the grant date; the six month anniversary of the grant date; and the nine month anniversary of the grant date, respectively. Performance-based vesting of each tranche is based on TSR over the respective two-year performance measurement period. TSR for the PSUs granted in 2016 is defined as the percentage by which our common stock “per share price” has increased or decreased as of the last day of each two-year performance measurement period relative to the first day of such performance measurement period, adjusted to reflect the reinvestment of all dividends declared and/or paid on our common stock (“Two-Year TSR”). The PSUs earned for each of the four two-year periods will vest and be distributed in December 2019. The number of underlying common shares of our common stock that will vest will vary between 0% (if the Two-Year TSR for a tranche is zero or negative) and 200% (if the Two-Year TSR for a tranche is greater than or equal to 72%) of the target number of PSUs originally granted in each tranche, adjusted upward (if vesting is greater than 0%) to reflect the value of dividends paid during the three-year vesting period. With respect to the PSUs granted in 2015 and 2014, vesting will generally occur at the end of three years from their grant date, with the level of vesting at that time contingent on TSR. TSR for the PSUs granted in 2015 and 2014 is defined as the percentage by which our common stock “per share price” has increased or decreased as of the last day of the three-year vesting period relative to the first day of such vesting period, adjusted to reflect the reinvestment of all dividends declared and/or paid on our common stock (“Three-Year TSR”). The number of underlying shares of our common stock that will vest in future years will vary between 0% (if Three-Year TSR is zero or negative) and 200% (if Three-Year TSR is greater than or equal to 125%) of the target number of PSUs originally granted, adjusted upward (if vesting is greater than 0%) to reflect the value of dividends paid during the three-year vesting period. The grant date fair values of the 2016 PSUs were determined through Monte-Carlo simulations using the following assumptions: our common stock closing price at the grant date, the average closing price of our common stock price for the 60 trading days prior to the grant date and the range of performance-based vesting based on TSR over four separate two-year performance periods. For the 2016 PSU grant, an implied volatility assumption of 29% (based on historical volatility), a risk free rate of 1.57% (the three-year Treasury rate on the grant date), and a 0% dividend yield (the mathematical equivalent to reinvesting the dividends over the three-year performance period as is consistent with the terms of the PSUs), were used. The grant date fair values of 2015 and 2014 PSUs were determined through Monte-Carlo simulations using the following assumptions: our common stock closing price at the grant date, the average closing price of our common stock price for the 40 trading days prior to the grant date and the range of performance-based vesting based on TSR over three years from the grant date. For the 2015 PSU grant, an implied volatility assumption of 26% (based on historical volatility), a risk free rate of 1.35% (the three-year Treasury rate on the grant date), and a 0% dividend yield (the mathematical equivalent to reinvesting the dividends over the three-year performance period as is consistent with the terms of the PSUs) were used. For the 2014 PSU grant, an implied volatility assumption of 24%, a risk free rate of 1.06%, and a 0% dividend yield were used. Expenses related to PSUs were $3 million for each of the years ended December 31, 2016, 2015, and 2014, respectively. During the first quarter of 2016, equity compensation expense of $0.6 million was recognized in connection with the announced departures of two executives to reflect the pro-rated vesting of their PSUs through their departure dates in 2016 in accordance with the terms of their employment agreements. As of December 31, 2016, there was $5 million of unrecognized compensation cost related to unvested PSUs. With respect to the PSUs granted in 2013, the three-year performance period ended during the fourth quarter of 2016, resulting in the vesting of zero shares of our underlying common stock. With respect to the PSUs granted in 2012, the three-year performance period ended during the fourth quarter of 2015, resulting in the vesting of 57,049 shares of our underlying common stock. With respect to the PSUs granted in 2011, the three-year performance period ended during the fourth quarter of 2014, resulting in the vesting of 701,440 shares of our underlying common stock. The distribution of these underlying shares of common stock occurred in May 2015 and December 2015, respectively, in accordance with the terms of the PSUs and our Executive Deferred Compensation Plan. Employee Stock Purchase Plan ("ESPP") The ESPP allows a maximum of 450,000 shares of common stock to be purchased in aggregate for all employees. As of December 31, 2016, 337,271 shares had been purchased, respectively, and there remained a negligible amount of uninvested employee contributions in the ESPP at December 31, 2016. The following table summarizes the activities related to the ESPP for the years ended December 31, 2016, 2015, and 2014. Table 17.4 – Employee Stock Purchase Plan Activities
Executive Deferred Compensation Plan The following table summarizes the cash account activities related to the EDCP for the years ended December 31, 2016, 2015, and 2014. Table 17.5 – EDCP Cash Accounts Activities
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Mortgage Banking Activities, Net |
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Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Banking Activities, Net | Mortgage Banking Activities, Net The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income for the years ended December 31, 2016, 2015, and 2014. Table 18.1 – Mortgage Banking Activities
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Investment Fair Value Changes, Net |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Fair Value Changes, Net | Investment Fair Value Changes, Net The following table presents the components of Investment fair value changes, net, recorded in our consolidated statements of income for the years ended December 31, 2016, 2015 and 2014. Table 19.1 – Investment Fair Value Changes
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Operating Expenses |
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Other Income and Expenses [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Operating Expenses | Operating Expenses Components of our operating expenses for the years ended December 31, 2016, 2015 and 2014 are presented in the following table. Table 20.1 – Components of Operating Expenses
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Taxes |
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Income Tax Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Taxes | Taxes Components of our net deferred tax assets at December 31, 2016 and 2015 are presented in the following table. Table 21.1 – Deferred Tax Assets (Liabilities)
The deferred tax assets and liabilities reported above, with the exception of the state net operating loss and capital loss carryforwards, relate solely to our TRS. For state purposes, the REIT files a unitary combined return with its TRS. Because the REIT may have state taxable income apportioned to it from the activity of its TRS, we report the entire combined unitary state net operating loss and capital loss carryforwards as deferred tax assets, including the carryforwards allocated to the REIT. Realization of our deferred tax assets ("DTAs") at December 31, 2016, is dependent on many factors, including generating sufficient taxable income prior to the expiration of NOL carryforwards and generating sufficient capital gains in future periods prior to the expiration of capital loss carryforwards. We determine the extent to which realization of the deferred assets is not assured and establish a valuation allowance accordingly. As a result of GAAP income generated at our TRS in 2016, we are reporting net federal ordinary and capital deferred tax liabilities ("DTLs") at December 31, 2016 and consequently no valuation allowance is recorded against any federal DTA. This is compared to the year ended December 31, 2015, where we reported net federal ordinary and capital DTAs, for which we recorded a full valuation allowance. Consistent with prior periods, at December 31, 2016, we continued to maintain a valuation allowance against our net state DTAs as we remain uncertain about our ability to generate sufficient income in future periods needed to utilize net state DTAs beyond the reversal of our state DTLs. Our estimate of net deferred tax assets could change in future periods to the extent that actual or revised estimates of future taxable income during the carryforward periods change from current expectations. We assessed our tax positions for all open tax years (i.e., Federal, 2013 to 2016, and State, 2012 to 2016) and, at December 31, 2016 and 2015, concluded that we had no uncertain tax positions that resulted in material unrecognized tax benefits. The following table summarizes the provision for income taxes for the years ended December 31, 2016, 2015, and 2014. Table 21.2 – Provision for Income Taxes
At December 31, 2016, our federal NOL carryforward at the REIT was $59 million, which will expire in 2029. In order to utilize NOLs at the REIT, taxable income must exceed dividend distributions. At December 31, 2016, our taxable REIT subsidiaries had federal NOLs of $28 million, which will expire in 2035. Redwood and its taxable subsidiaries accumulated an estimated state NOL of $1.25 billion at December 31, 2016. These NOLs expire beginning in 2029. If certain substantial changes in the Company’s ownership occur, there could be an annual limitation on the amount of the carryforwards that can be utilized. For the years ended December 31, 2016, 2015, and 2014, we recognized a provision for income taxes of $4 million, a benefit from income taxes of $10 million, and a provision for income taxes of $1 million, respectively. The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at December 31, 2016, 2015, and 2014. Table 21.3 – Reconciliation of Statutory Tax Rate to Effective Tax Rate
We believe that we have met all requirements for qualification as a REIT for federal income tax purposes. Many requirements for qualification as a REIT are complex and require analysis of particular facts and circumstances. Often there is only limited judicial or administrative interpretive guidance and as such there can be no assurance that the Internal Revenue Service or courts would agree with our various tax positions. If we did not meet the requirements for statutory relief, we could be subject to a 100% prohibited transaction tax for certain transactions, be required to distribute additional dividends, or be subject to federal income tax at regular corporate rates. We could also potentially lose our REIT status. Any of these outcomes could have a material adverse impact on our consolidated financial statements. |
Segment Information |
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Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Information | Segment Information Redwood operates in three segments: Residential Mortgage Banking, Residential Investments, and Commercial. Beginning in the first quarter of 2016, we renamed our former "Commercial mortgage banking and investments" segment to our "Commercial" segment, as a result of our announcement to discontinue the origination of commercial loans. Our segments are based on our organizational and management structure, which aligns with how our results are monitored and performance is assessed. The accounting policies of the reportable segments are the same as those described in Note 3 — Summary of Significant Accounting Policies. For a full description of our segments, see Item 1—Business in this Annual Report on Form 10-K. Segment contribution represents the measure of profit that management uses to assess the performance of our business segments and make resource allocation and operating decisions. Certain expenses not directly assigned or allocated to one of the three primary segments, as well as activity from certain consolidated Sequoia entities consolidated for GAAP financial reporting purposes, are included in the Corporate/Other column as reconciling items to our consolidated financial statements. These unallocated expenses primarily include interest expense associated with certain long-term debt, indirect operating expenses, and other expense. The following tables present financial information by segment for the years ended December 31, 2016, 2015, and 2014. Table 22.1 – Business Segment Financial Information
The following table presents the components of Corporate/Other for the years ended December 31, 2016, 2015, and 2014. Table 22.2 – Components of Corporate/Other
The following table presents supplemental information by segment at December 31, 2016 and December 31, 2015. Table 22.3 – Supplemental Segment Information
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Quarterly Financial Data - Unaudited |
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Quarterly Financial Information Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Quarterly Financial Data - Unaudited | Quarterly Financial Data - Unaudited
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Summary of Significant Accounting Policies (Policies) |
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Accounting Policies [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Presentation | The consolidated financial statements presented herein are at December 31, 2016 and December 31, 2015, and for the years ended December 31, 2016, 2015, and 2014. These consolidated financial statements have been prepared in accordance with U.S. generally accepted accounting principles ("GAAP") — as prescribed by the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) — and the rules and regulations of the Securities and Exchange Commission ("SEC"). In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the company at December 31, 2016 and results of operations for all periods presented have been made. In the second quarter of 2015, we began to specifically identify derivatives that are used to hedge our exposure to market interest rate risk associated with our mortgage servicing right ("MSR") investments. As a result, beginning in the second quarter of 2015, we changed our income statement presentation to include the change in market value of these derivatives in the line item “Mortgage servicing rights income (loss), net.” As we previously managed our market interest rate risk on a portfolio-wide basis and did not necessarily rely on derivatives to hedge our MSRs, we cannot conform prior periods to the current presentation. Therefore, in periods prior to the second quarter of 2015 presented in our consolidated statements of income, amounts in “Mortgage servicing rights income (loss), net” do not reflect the impact of hedging. These changes and year-over-year comparisons are discussed in further detail in Part II, Item 7, Management’s Discussion and Analysis of Financial Condition and Results of Operations in this Annual Report on Form 10-K. Additionally, in the first quarter of 2016, we began to present the changes in fair value of certain investments and their associated derivatives in the new line item "Investment fair value changes, net" on our consolidated statements of income and began to present income from mortgage banking activities in "Mortgage banking activities, net" on our consolidated statements of income. We conformed the presentation of prior periods related to this change for consistency of comparison. See Note 18 and Note 19 for additional detail on the components of these income statement line items. |
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Principles of Consolidation | In accordance with GAAP, we determine whether we must consolidate transferred financial assets and variable interest entities (“VIEs”) for financial reporting purposes. We currently consolidate the assets and liabilities of certain Sequoia securitization entities where we maintain an ongoing involvement. From its creation in 2012 through the second quarter of 2016, when the third party financing was repaid, we consolidated the assets and liabilities of an entity formed in connection with a commercial securitization in which we engaged (“Commercial Securitization”). We also consolidated the assets and liabilities of an entity formed in connection with a resecuritization transaction we engaged in (“Residential Resecuritization”) from its creation in 2011 through the fourth quarter of 2015, when the debt of the entity was repaid and the assets of the entity were distributed to us. Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood Trust, Inc. Our exposure to these entities is primarily through the financial interests we have retained, although we are exposed to certain financial risks associated with our role as a sponsor, manager, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. For financial reporting purposes, the underlying loans and securities owned at the consolidated Sequoia entities, the Residential Resecuritization entity, and the Commercial Securitization entity are shown under residential and commercial loans and real estate securities on our consolidated balance sheets. The asset-backed securities (“ABS”) issued to third parties by these entities are shown under ABS issued. In our consolidated statements of income, we recorded interest income on the loans and securities owned at these entities and interest expense on the ABS issued by these entities as well as other income and expenses associated with these entities' activities. See Note 13 for further discussion on ABS issued. |
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Use of Estimates | The preparation of financial statements requires us to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. Our estimates are inherently subjective in nature and actual results could differ from our estimates and the differences could be material. |
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Fair Value Measurements | Our consolidated financial statements include assets and liabilities that are measured at their estimated fair values in accordance with GAAP. A fair value measurement represents the price at which an orderly transaction would occur between willing market participants at the measurement date. We develop fair values for financial assets or liabilities based on available inputs and pricing that is observed in the marketplace. After considering all available indications of the appropriate rate of return that market participants would require, we consider the reasonableness of the range indicated by the results to determine an estimate that is most representative of fair value. The markets for many of the assets that we invest in and issue are generally illiquid. Establishing fair values for illiquid assets and liabilities is inherently subjective and is often dependent upon our estimates and modeling assumptions. If we determine that either the volume and/or level of trading activity for an asset or liability has significantly decreased from normal market conditions, or price quotations or observable inputs are not associated with orderly transactions, the market inputs that we obtain might not be relevant. For example, broker or pricing service quotes might not be relevant if an active market does not exist for the financial asset or liability. The nature of the quote (for example, whether the quote is an indicative price or a binding offer) is also evaluated. In circumstances where relevant market inputs cannot be obtained, increased analysis and management judgment are required to estimate fair value. This generally requires us to establish internal assumptions about future cash flows and appropriate risk-adjusted discount rates. Regardless of the valuation inputs we apply, the objective of fair value measurement for assets is unchanged from what it would be if markets were operating at normal activity levels and/or transactions were orderly; that is, to determine the current exit price. |
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Fair Value Option | We have the option to measure eligible financial assets, financial liabilities, and commitments at fair value on an instrument-by-instrument basis. This option is available when we first recognize a financial asset or financial liability or enter into a firm commitment. Subsequent changes in the fair value of assets, liabilities, and commitments where we have elected the fair value option are recorded in our consolidated statements of income. We elect the fair value option for certain residential loans, MSRs, interest only (“IO”) securities, and certain mezzanine classified subordinate securities. We generally elect the fair value option for residential loans that are held-for-sale, due to our intent to sell or securitize the loans in the near-term. We elect the fair value option for our MSRs, IO securities, and certain subordinate securities, for which we generally hedge market interest rate risk. As such, we seek to offset interest rate related changes in the values of these investments with changes in the values of their associated hedges through our consolidated statements of income. In addition, upon the adoption of ASU 2014-13 in 2015, we elected the fair value option for the assets and liabilities of our consolidated Sequoia entities. |
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Real Estate Loans | Residential and Commercial Loans - Held-for-Sale at Fair Value Residential and commercial loans held-for-sale include loans that we are marketing for sale to third parties, including transfers to securitization entities that we plan to sponsor and expect to be accounted for as sales for financial reporting purposes. We generally elect the fair value option for residential loans (and previously for commercial loans) that we purchase with the intent to sell to third parties or transfer to Sequoia securitizations. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due. Changes in fair value are recurring and are reported through our consolidated statements of income in Mortgage banking activities, net. Residential and Commercial Loans - Held-for-Sale at Lower of Cost or Market Loans held-for-sale at lower of cost or market include certain residential and commercial loans. These loans are recorded and subsequently reported at the lower of their initial carrying amount or current fair value. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status. Loans delinquent more than 90 days or in foreclosure are characterized as a serious delinquency. Cash principal and interest that is advanced from servicers subsequent to a residential loan becoming greater than 90 days past due is accounted for as a reduction in the outstanding loan principal balance. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Changes in fair value are non-recurring and are reported through our consolidated statements of income in Mortgage banking activities, net and Investment fair value changes, net, for residential and commercial loans, respectively. Residential Loans Held-for-Investment - At Fair Value Certain loans that were originally purchased with the intent to sell as part of our residential mortgage banking operations, and for which we elected the fair value option at acquisition, were subsequently reclassified to held-for-investment ("HFI") when the loans were transferred to our FHLBC member subsidiary and pledged as collateral for borrowings made from the Federal Home Loan Bank of Chicago (“FHLBC”). As of December 31, 2016, our current intention is to hold these loans for longer-term investment while they are financed by the FHLBC. In addition, on January 1, 2015, we adopted ASU 2014-13 and began to record loans held at consolidated Sequoia entities at fair value. Coupon interest for these loans is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Changes in fair value are recurring and are reported through our consolidated statements of income in Investment fair value changes, net. Commercial Loans Held-for-Investment - At Fair Value We elected the fair value option for certain senior commercial mortgage loans that we originated and bifurcated into a senior portion that was sold to a third party and a junior portion that we retained as an investment (during 2016, we disposed of all of our interests in these loans). As the initial transfer of the senior portions did not meet the criteria for sale treatment under GAAP, the loans in their entirety (the senior and junior portions) remained on our consolidated balance sheet, and we accounted for the transfer of the senior portion as a secured borrowing. Coupon interest was recognized as revenue when earned and deemed collectible. Changes in fair value were recurring and reported through our consolidated statements of income in Mortgage banking activities, net. Commercial Loans Held-for-Investment - At Amortized Cost Commercial loans held-for-investment at amortized cost historically included certain commercial loans prior to their transfer to held-for-sale classification during 2016. Coupon interest was recognized as revenue when earned and deemed collectible or until a loan became more than 90 days past due or had been individually impaired, at which point the loan was placed on non-accrual status. Interest previously accrued for loans that had become greater than 90 days past due or individually impaired was reserved for in the allowance for loan losses. See Note 7 for further discussion on commercial loans. Residential Loans - Allowance for Loan Losses and Foreclosed Loans Upon the adoption of ASU 2014-13 on January 1, 2015, we reclassified all residential loans held at amortized cost to fair value and eliminated our allowance for loan losses for residential loans. See Note 6 for further discussion on the allowance for loan losses for residential loans. Commercial Loans - Allowance for Loan Losses For commercial loans historically classified as held-for-investment at amortized cost, we established and maintained a general allowance for loan losses inherent in our portfolio at the reporting date and, where appropriate, a specific allowance for loan losses for loans we determined to be impaired at the reporting date. An individual loan was considered impaired when it was deemed probable that we would not be able to collect all amounts due according to the contractual terms of the loan. Where an individual commercial loan was impaired, we recorded an allowance to reduce the carrying value of the loan to the current present value of expected future cash flows discounted at the loan’s effective rate or if a loan was collateral dependent, we reduced the carrying value to the estimated fair market value of the loan with a corresponding charge to provision for loan losses on our consolidated statements of income. For all commercial loans that were not individually impaired, we assessed the commercial loan portfolio in aggregate for loan losses based on our expectation of credit losses inherent in the portfolio at the reporting date. Repurchase Reserves We sell and have sold residential mortgage loans to various parties, including (1) securitization trusts, (2) Fannie Mae and Freddie Mac (“the Agencies”), and (3) banks and other financial institutions that purchase mortgage loans for investment or private label securitization. We may be required to repurchase residential mortgage loans we have sold, or loans associated with MSRs we have purchased, in the event of a breach of specified contractual representations and warranties made in connection with these sales and purchases. With respect to MSRs we purchase, if the associated residential loan has been sold to one of the Agencies (which is typically the case), that Agency can require us, as the owner of the MSR, to repurchase the residential loan in the event of such a breach of representations and warranties even though we were not the party that sold the associated loan to that Agency. In January 2016, we discontinued the acquisition and aggregation of conforming loans for resale to the Agencies. We do not originate residential mortgage loans and believe the initial risk of loss due to loan repurchases (i.e., due to a breach of representations and warranties) would generally be a contingency to the companies from whom we acquired the loans or MSRs. However, in some cases, such as where loans or MSRs were acquired from companies that have since become insolvent, we may have to bear the loss associated with a loan repurchase. Furthermore, even if we do not have to ultimately bear such a loss because we can recover from the company that sold us the loan or the MSR, there could be a delay in making that recovery. We establish reserves for mortgage repurchase liabilities related to various representations and warranties that reflect management’s estimate of losses for loans for which we could have a repurchase obligation, based on a combination of factors. Such factors can include estimated future defaults and loan repurchase rates, the potential severity of loss in the event of defaults, and the probability of our being liable for a repurchase obligation. We establish a reserve at the time loans are sold and MSRs are purchased and continually update our reserve estimate during its life. The reserve for mortgage loan repurchase losses is included in other liabilities on our consolidated balance sheets and the related expense is included as a component of Mortgage banking activities, net and MSR income (loss), net on our consolidated statements of income. |
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Real Estate Securities, at Fair Value | Our securities primarily consist of residential mortgage backed securities (“RMBS”) and may include other residential and commercial securities. We classify our real estate securities as trading or available-for-sale securities. We use the “prime” or “non-prime” designation to categorize our residential securities based upon the general credit characteristics of the residential loans underlying each security at the time of origination. For example, prime residential loans are generally characterized by lower loan-to-value (“LTV”) ratios at the time the loans were originated, and are made to borrowers with higher Fair Isaac Corporation (“FICO”) scores. Non-prime residential loans are generally characterized by higher LTV ratios at the time the loans were originated and may have been made to borrowers with lower credit scores or impaired credit histories (while exhibiting the ability to repay their loans) at the time the loan was originated. Regardless of whether or not the loans underlying a residential security were designated as prime or non-prime at origination, there is a risk that the borrower may not be able to repay the loan. Trading Securities We primarily denote trading securities as those securities where we have adopted the fair value option. Trading securities are carried at their estimated fair values. Coupon interest is recognized as interest income when earned and deemed collectible. Changes in the fair value of securities designated as trading securities are reported in Investment fair value changes, net on our consolidated statements of income. Available-for-Sale Securities AFS securities are carried at their estimated fair value with unrealized gains and losses excluded from earnings (except when an other-than-temporary impairment (“OTTI”) is recognized, as discussed below) and reported in Accumulated other comprehensive income (“AOCI”), a component of stockholders’ equity. Interest income on AFS securities is accrued based on their outstanding principal balance and contractual terms and interest income is recognized based on the security’s effective interest rate. In order to calculate the effective interest rate, we must project cash flows over the remaining life of each security and make assumptions with regards to interest rates, prepayment rates, the timing and amount of credit losses, and other factors. On at least a quarterly basis, we review and, if appropriate, make adjustments to our cash flow projections based on input and analysis received from external sources, internal models, and our own judgments about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield and interest income recognized on these securities or in the recognition of OTTI as discussed below. For AFS securities purchased and held at a discount, a portion of the discount may be designated as non-accretable purchase discount (“credit reserve”), based on the cash flows we have projected for the security. The amount designated as credit reserve may be adjusted over time, based on our periodic evaluation of projected cash flows. If the performance of a security with a credit reserve is more favorable than previously forecasted, a portion of the credit reserve may be reallocated to accretable discount and recognized into interest income over time. Conversely, if the performance of a security with a credit reserve is less favorable than forecasted, the amount designated as credit reserve may be increased, or impairment charges and write-downs of such securities to a new cost basis could result. When the fair value of an AFS security is less than its amortized cost at the reporting date, the security is considered impaired. We assess our impaired securities at least quarterly to determine if the impairment is temporary or other-than-temporary (resulting in an OTTI). If we either - (i) intend to sell the impaired security; (ii) will more likely than not be required to sell the impaired security before it recovers in value; or (iii) if there has been an adverse change in cash flows - the impairment is deemed an OTTI. In the case of criteria (i) and (ii), we record the entire difference between the security’s estimated fair value and its amortized cost at the reporting date as an impairment through market valuation adjustments on our consolidated statements of income. If there has been an adverse change in cash flows, only the portion of the OTTI related to “credit” losses is recognized through other market valuation adjustments on our consolidated statements of income, with the remaining “non-credit” portion recognized through AOCI on our consolidated balance sheets. If the first two criteria are not met and there has not been an adverse change in cash flows, the impairment is considered temporary and the entire unrealized loss is recognized through AOCI on our consolidated balance sheets. For impaired AFS securities, to determine if there has been an adverse change in cash flows and if any portion of a resulting OTTI is related to credit losses, we compare the present value of the cash flows expected to be collected as of the current financial reporting date to the amortized cost basis of the security. The discount rate used to calculate the present value of expected future cash flows is the current yield used for income recognition purposes. If the present value of the current expected cash flows is less than the amortized cost basis, there has been an adverse change and the security is considered OTTI with the difference between these two amounts representing the credit loss. The determination as to whether an OTTI exists and, if so, the amount of credit impairment recognized in earnings is subjective, and based on information available at the time of the assessment as well as our estimates of future performance and cash flows. As a result, the timing and amount of OTTI constitute a material estimate that is susceptible to significant change. |
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MSRs | We recognize MSRs through the retention of servicing rights associated with residential mortgage loans that we acquired and subsequently transferred to third parties when the transfer meets the GAAP criteria for sale accounting, or through the direct acquisition of MSRs sold by third parties. We contract with licensed sub-servicers to perform servicing functions for loans associated with our MSRs. We have elected the fair value option for all of our MSRs, and they are initially recognized and carried at their estimated fair values. Servicing fee income from MSRs is recorded on a cash basis when received. Net servicing income and changes in the estimated fair value of MSRs are reported in MSR income (loss), net on our consolidated statements of income. |
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Cash and Cash Equivalents | Cash and cash equivalents include non-restricted cash and highly liquid investments with original maturities of three months or less. The Company maintains its cash and cash equivalents with major financial institutions. Accounts at these institutions are guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) up to $250,000 for each bank. The Company is exposed to credit risk for amounts held in excess of the FDIC limit. The Company does not anticipate nonperformance by these institutions |
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Restricted Cash | Restricted cash primarily includes cash held in association with borrowings from the Federal Home Loan Bank of Chicago, and cash associated with our risk sharing transactions with the Agencies, as well as principal and interest payments that are collateral for, or payable to, owners of ABS issued by consolidated securitization entities. |
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Accrued Interest Receivable | Accrued interest receivable includes interest that is due and payable to us and deemed collectible. Cash interest is generally received within thirty days of recording the receivable. For financial assets where we have elected the fair value option, the associated accrued interest receivable on these assets is measured at fair value. For financial assets where we have not elected the fair value option, the associated accrued interest carrying values approximate fair values. |
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Derivative Financial Instruments | Derivative financial instruments we typically utilize include swaps, swaptions, financial futures contracts, CMBX credit default index swaps, and “To Be Announced” (“TBA”) contracts. These derivatives are primarily used to manage interest rate risk associated with our operations. In addition, we enter into certain residential loan purchase commitments (“LPCs”) and residential loan forward sale commitments (“FSCs”) that are treated as derivatives for financial reporting purposes. All derivative financial instruments are recorded at their estimated fair value on our consolidated balance sheets. Derivatives with positive fair values to us are reported as assets and derivatives with negative fair values to us are reported as liabilities. We classify each derivative as either (i) a trading instrument (no specific hedging designation for financial reporting purposes) or (ii) a hedge of a forecasted transaction or of the variability of cash flows to be received or paid related to a recognized asset or liability (cash flow hedge). Changes in the fair values of derivatives accounted for as trading instruments, including any associated interest income or expense, are recorded in our consolidated statements of income through MSR income (loss), net if they are used to manage risks associated with our MSR investments, through Mortgage banking activities, net if they are used to manage risks associated with our mortgage banking activities, or through Investment fair value changes, net if they are used to manage risks associated with our investments. Valuation changes related to residential LPCs and FSCs are included in Mortgage banking activities, net on our consolidated statements of income. Changes in the fair values of derivatives accounted for as cash flow hedges, to the extent they are effective, are recorded in Accumulated other comprehensive income, a component of equity on our consolidated balance sheets. Interest income or expense, and any ineffectiveness associated with these derivatives, are recorded as a component of net interest income in our consolidated statements of income. We measure the effective portion of cash flow hedges by comparing the change in fair value of the expected future variable cash flows of the derivative hedging instruments with the change in fair value of the expected future variable cash flows of the hedged item. We will discontinue a designated cash flow hedge relationship if (i) we determine that the hedging derivative is no longer expected to be effective in offsetting changes in the cash flows of the designated hedged item; (ii) the derivative expires or is sold, terminated, or exercised; (iii) the derivative is de-designated as a cash flow hedge; or (iv) it is probable that a forecasted transaction associated with the hedged item will not occur by the end of the originally specified time period. To the extent we de-designate or terminate a cash flow hedging relationship and the associated hedged item continues to exist, any unrealized gain or loss of the cash flow hedge at the time of de-designation remains in accumulated other comprehensive income and is amortized using the straight-line method through interest expense over the remaining life of the hedged item. Swaps and Swaptions Interest rate swaps are agreements in which (i) one counterparty exchanges a stream of fixed interest payments for another counterparty’s stream of variable interest cash flows; or (ii) each counterparty exchanges variable interest cash flows that are referenced to different indices. Interest rate swaptions are agreements that provide the owner the right but not the obligation to enter into an underlying interest rate swap with a counterparty in the future. We enter into swap and swaptions primarily to reduce significant changes in our income or equity caused by interest rate volatility. Certain of these interest rate agreements may be designated as cash flow hedges. Eurodollar Futures and Financial Futures Eurodollar futures are futures contracts on time deposits denominated in U.S. dollars at banks outside the United States. Eurodollar futures, unlike our other derivatives, have maturities of only three months. Therefore, in order to achieve the desired interest rate offset necessary to manage our risk, consecutively maturing contracts are required, resulting in a stated notional amount that is typically higher than our other derivatives. Financial futures are futures contracts on benchmark U.S. Treasury rates. TBA Agreements TBA agreements are forward contracts to purchase mortgage-backed securities that will be issued by a U.S. government sponsored enterprise in the future. We purchase or sell these derivatives to offset - to varying degrees - changes in the values of mortgage products for which we have exposure to interest rate volatility. CMBX Credit Default Index Swaps CMBX credit default index swaps are derivative instruments that reference an index reflecting the performance of specified tranches from selected commercial mortgage-backed securities (“CMBS”) transactions. Transacting in CMBX credit default index swaps enables us to hedge certain financial risks we are exposed to as we originate senior commercial mortgage loans in anticipation of the sale of these loans into CMBS transactions. Loan Purchase and Forward Sale Commitments We use the term LPCs to refer to agreements with third-party residential loan originators to purchase residential loans at a future date that qualify as a derivative under GAAP and we use the term FSCs to refer to agreements with third-parties to sell residential loans at a future date that also qualify as derivatives under GAAP. LPCs and FSCs are recorded at their estimated fair values on our consolidated balance sheets and changes in fair value are recurring and are reported through our consolidated statements of income in Mortgage banking activities, net. |
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Deferred Tax Assets and Liabilities | Our deferred tax assets/liabilities are generated by temporary differences in GAAP and taxable income at our taxable subsidiaries. These differences generally reflect differing accounting treatments for GAAP and tax, such as accounting for mortgage servicing rights, discount and premium amortization, credit losses, asset impairments, and certain valuation estimates. As a result of these differences, we may recognize taxable income in periods prior to when we recognize income for GAAP. When this occurs, we pay the tax liability as required and establish a deferred tax asset. As the income is subsequently realized in future periods under GAAP, the deferred tax asset is reduced. We may also recognize GAAP income in periods prior to when we recognize income for tax. When this occurs, we establish a deferred tax liability for GAAP. As the income is subsequently realized in future periods for tax, the deferred tax liability is reduced. In assessing the realizability of deferred tax assets, we consider whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during the periods in which those temporary differences become deductible. We consider historical and projected future taxable income and capital gains as well as tax planning strategies in making this assessment. We determine the extent to which realization of this deferred asset is not assured and establish a valuation allowance accordingly. The estimate of net deferred tax assets could change in future periods to the extent that actual or revised estimates of future taxable income during the carryforward periods change from current expectations. |
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Other Assets and Other Liabilities | Other assets primarily consists of margin receivable, pledged collateral, FHLBC stock, guarantee asset, and REO. Other liabilities primarily consists of accrued compensation, guarantee obligations, margin payable, and residential loan and MSR repurchase reserves. FHLBC Stock In accordance with its borrowing agreement with the FHLBC, our FHLB-member subsidiary is required to purchase and hold stock in the FHLBC in an amount equal to a specified percentage of outstanding advances. FHLBC stock is considered a non-marketable, long-term investment, and is carried at cost. Because this stock can only be redeemed or sold at its par value, and only to the FHLBC, carrying value, or cost, approximates fair value. Dividends received from FHLBC stock are recorded in other income, net in our consolidated statements of income. Margin Receivable and Payable Margin receivable and payable result from margin calls between us and our derivatives, master repurchase agreements, and warehouse facilities counterparties, whereby we or the counterparty were required to post collateral. Agency Risk-Sharing - Other Assets and Liabilities During 2014 and 2015, we entered into various risk-sharing arrangements with Fannie Mae and Freddie Mac. Under these arrangements, we committed to assume the first 1.00% or 2.25% (depending on the arrangement) of losses realized on reference pools of conforming residential mortgage loans that we acquired and then sold to the Agencies. As part of these risk sharing arrangements, during the 10 year term of our first Fannie Mae arrangement, we receive monthly cash payments from Fannie Mae based on the monthly outstanding unpaid principal balance of the reference pool of loans, and for our Freddie Mac and our subsequent Fannie Mae arrangements, the Agencies charged us a reduced guarantee fee for the reference loans we delivered to them in exchange for mortgage backed securities, which we then sold. Under these arrangements we are required to pledge assets to the Agencies to collateralize our risk sharing commitments to them throughout the terms of the arrangements. These pledged assets are held by a third-party custodian for the benefit of the Agencies. To the extent approved losses are incurred, the custodian will transfer collateral to the Agencies. As a result of these transactions, we recorded “pledged collateral” in the other assets line item, and “guarantee obligations” in the other liabilities line item, on our consolidated balance sheets. In addition, for the first Fannie Mae transaction, we recorded a “guarantee asset” in the other assets line item on our consolidated balance sheets. The guarantee obligations represent our commitments to assume losses under these arrangements, which at inception were recorded at fair value based on the fair value of the guarantee asset in the case of the first Fannie Mae arrangement, and the additional proceeds received that were attributable to the reduced guarantee fees for the Freddie Mac and subsequent Fannie Mae arrangements. We amortize the guarantee obligations over the 10 year terms of the arrangements based primarily on changes in the outstanding unpaid principal balance of loans in the reference pools, with a portion of the liabilities treated as a credit reserve that is not amortized into income. In addition, each period we assess the need for a separate loss allowance related to these arrangements, based on our estimate of credit losses inherent in the reference pools of loans. Income from cash payments received under the first Fannie Mae risk sharing arrangement and income related to the amortization of the guarantee obligations of all three arrangements are recorded in other income, and market valuation changes of the guarantee asset are recorded in Investment fair value changes, net on our consolidated statements of income. Our consolidated balance sheets include assets of the special purpose entities ("SPEs") associated with these risk sharing arrangements (i.e., the "pledged collateral" referred to above) that can only be used to settle obligations of these SPEs and liabilities of these SPEs for which the creditors of these SPEs (the Agencies) do not have recourse to Redwood Trust, Inc. or its affiliates. At December 31, 2016 and December 31, 2015, assets of such SPEs totaled $49 million and $63 million, respectively, and liabilities of such SPEs totaled $22 million and $25 million, respectively. See Note 15 for further discussion on loss contingencies — risk sharing. REO REO property acquired through, or in lieu of, foreclosure is initially recorded at fair value, and subsequently reported at the lower of its carrying amount or fair value (less estimated cost to sell). Changes in the fair value of an REO property that has a fair value at or below its carrying amount are recorded in our consolidated statements of income as a component of other market valuation adjustments. |
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Short-Term Debt | Short-term debt includes borrowings under master repurchase agreements, loan warehouse facilities, and other forms of borrowings that expire within one year with various counterparties. These borrowings may be unsecured or collateralized by cash, loans, or securities. If the value (as determined by the applicable counterparty) of the collateral securing those borrowings decreases, we may be subject to margin calls during the period the borrowings are outstanding. In instances where we do not satisfy the margin calls within the required time frame, the counterparty may retain the collateral and pursue any outstanding debt amount from us. |
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Accrued Interest Payable | Accrued interest payable includes interest that is due and payable to third parties. Interest is generally paid within one to three months of recording the payable, based upon our remittance requirements, and is paid semi-annually for our convertible and exchangeable debt. For borrowings where we have elected the fair value option, the associated accrued interest on these liabilities is measured at fair value. For financial liabilities where we have not elected the fair value option, the associated accrued interest carrying values approximate fair values. |
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Asset-Backed Securities Issued | ABS issued represents asset-backed securities issued by bankruptcy-remote entities consolidated by Redwood. These include certain Sequoia entities, the Residential Resecuritization and the Commercial Securitization. Assets at these entities are held in the custody of securitization trustees and are not owned by Redwood. These trustees collect principal and interest payments (less servicing and related fees) from the assets and make corresponding principal and interest payments to the ABS investors. ABS issued are generally carried at their unpaid principal balances net of any unamortized discount or premium and net of any unamortized deferred issuance costs. Upon adoption of ASU 2014-13 on January 1, 2015, we began to account for the ABS issued under our consolidated Sequoia entities at fair value, with periodic changes in fair value recorded in Investment fair value changes, net on our consolidated statements of income. |
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Long-Term Debt | FHLBC Borrowings FHLBC borrowings include amounts borrowed by our FHLB-member subsidiary, also referred to as “advances,” from the Federal Home Loan Bank of Chicago that are secured by eligible collateral, including, but not limited to, residential mortgage loans and residential mortgage-backed securities. FHLBC borrowings are carried at their unpaid principal balance and interest on advances is paid every 13 weeks from when each respective advance is made. If the value (as determined by the FHLBC) of the collateral securing those borrowings decreases, we may be subject to margin calls during the period the borrowings are outstanding. In instances where we do not satisfy the margin calls within the required time frame, the FHLBC may foreclose upon the collateral and pursue any outstanding debt amount from us. Commercial Secured Borrowings Commercial secured borrowings represent liabilities recognized in association with cash received from transfers of portions of senior commercial mortgage loans to third parties that did not meet the criteria for sale treatment under GAAP and were accounted for as financings. We elected the fair value option for these secured borrowings and they are held at their estimated fair value on our consolidated balance sheets. These amounts do not represent legal obligations of Redwood and we are not required to make interest payments on these borrowings. Convertible Notes Convertible notes include unsecured convertible and exchangeable debt that are carried at their unpaid principal balance net of any unamortized deferred issuance costs. Interest on the notes is payable semiannually until such time the notes mature or are converted or exchanged into shares. If converted or exchanged by a holder, the holder of the notes would receive shares of our common stock. Trust Preferred Securities and Subordinated Notes Trust preferred securities and subordinated notes are carried at their unpaid principal balance net of any unamortized deferred issuance costs. This long-term debt is unsecured and interest is paid quarterly until it is redeemed in whole or matures at a future date. Deferred Securities Issuance Costs Securities issuance costs are expenses associated with the issuance of long-term debt, and certain ABS issued. These expenses typically include underwriting, rating agency, legal, accounting, and other fees. ABS issuance costs associated with liabilities reported at cost are deferred. Deferred securities issuance costs are included in the carrying value of the related securities issued and are amortized as an adjustment to interest expense using the interest method, based upon the actual and estimated repayment schedules of the related securities issued. |
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Equity | Accumulated Other Comprehensive Income (Loss) Net unrealized gains and losses on real estate securities available-for-sale and interest rate agreements designated as cash flow hedges are reported as components of Accumulated other comprehensive income on our consolidated statements of changes in stockholders' equity and our consolidated balance sheets. Net unrealized gains and losses on securities and interest rate agreements held by our taxable subsidiaries that are reported in other comprehensive income are adjusted for the effects of taxation and may create deferred tax assets or liabilities. Earnings per Common Share Basic earnings per common share (“EPS”) is computed by dividing net income allocated to common shareholders by the weighted average common shares outstanding. Net income allocated to common shareholders represents net income less income allocated to participating securities (as described herein). Diluted EPS is computed by dividing income allocated to common shareholders by the weighted average common shares outstanding plus amounts representing the dilutive effect of share-based payment awards. In addition, if the assumed conversion or exchange of convertible or exchangeable debt into common shares is dilutive, diluted EPS is adjusted by adding back the periodic interest expense (net of any tax effects) associated with dilutive convertible or exchangeable debt to net income and adding the shares issued in an assumed conversion or exchange to the diluted weighted average share count. The two-class method is an earnings allocation formula under which EPS is calculated for common stock and participating securities according to dividends declared and participating rights in undistributed earnings. Under this method, all earnings (distributed and undistributed) are allocated between participating securities and common shares based on their respective rights to receive dividends or dividend equivalents. GAAP defines vested and unvested share-based payment awards containing nonforfeitable rights to dividends or dividend equivalents as participating securities that are included in computing EPS under the two-class method. |
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Incentive Plans | In May 2014, our shareholders approved the 2014 Redwood Trust, Inc. Incentive Plan (“Incentive Plan”) for executive officers, employees, and non-employee directors, which replaced the 2002 Redwood Trust, Inc. Incentive Plan. The Incentive Plan provides for the grant of restricted stock, deferred stock, deferred stock units, performance-based awards (including performance stock units), dividend equivalents, stock payments, restricted stock units, and other types of awards to eligible participants. Long-term incentive awards granted under the Incentive Plan generally vest over a three- or four-year period. Awards made under the Incentive Plan to officers and other employees in lieu of the payment in cash of a portion of annual bonuses earned generally vest immediately, but are subject to a three-year mandatory holding period. Deferred stock units and restricted stock have attached dividend equivalent rights, resulting in the payment of dividend equivalents each time we pay a common stock dividend. Non-employee directors are also provided annual awards under the Incentive Plan that generally vest immediately. The cost of the awards is amortized over the vesting period on a straight-line basis. Upon adoption of ASU 2016-09, we elected to begin accounting for forfeitures on employee equity awards as they occur. Employee Stock Purchase Plan In May 2013, our shareholders approved an amendment to our previously amended 2002 Redwood Trust, Inc. Employee Stock Purchase Plan (“ESPP”) to increase the number of shares available under the ESPP. The purpose of the ESPP is to give our employees an opportunity to acquire an equity interest in the Company through the purchase of shares of common stock at a discount. The ESPP allows eligible employees to purchase common stock at 85% of its fair value, subject to certain limits. Fair value as defined under the ESPP is the lesser of the closing market price of the common stock on the first day of the calendar year or the last day of the calendar quarter. Executive Deferred Compensation Plan In November 2013, our Board of Directors approved an amendment to our 2002 Executive Deferred Compensation Plan (“EDCP”) to allow non-employee directors to defer certain cash payments and dividends into DSUs. The EDCP allows eligible employees and directors to defer portions of current salary and certain other forms of compensation. The Company matches some deferrals. Compensation deferred under the EDCP is recorded as a liability on our consolidated balance sheets. The EDCP allows for the investment of deferrals in either an interest crediting account or DSUs. 401(k) Plan We offer a tax-qualified 401(k) Plan to all employees for retirement savings. Under this Plan, employees are allowed to defer and invest up to 100% of their cash earnings, subject to the maximum 401(k) Plan contribution limit set forth by the Internal Revenue Service. We match some employee contributions to encourage participation and to provide a retirement planning benefit to employees. Plan matching contributions made by the Company for the years ended December 31, 2016, 2015, and 2014 were $0.6 million, $0.8 million, and $0.6 million, respectively. Vesting of the 401(k) Plan matching contributions is based on the employee’s tenure at the Company, and over time an employee becomes increasingly vested in matching contributions. |
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Taxes | We have elected to be taxed as a REIT under the Internal Revenue Code and the corresponding provisions of state law. To qualify as a REIT we must distribute at least 90% of our annual REIT taxable income to shareholders (not including taxable income retained in our taxable subsidiaries) within the time frame set forth in the tax code and also meet certain other requirements related to assets, income, and stock ownership. We assess our tax positions for all open tax years and record tax benefits only if tax positions meet a more-likely-than-not threshold in accordance with GAAP guidance on accounting for uncertain tax positions. We classify interest and penalties on material uncertain tax positions as interest expense and operating expense, respectively, in our consolidated statements of income. |
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Recent Accounting Pronouncements | Newly Adopted Accounting Standards Updates ("ASUs") In April 2015, the FASB issued ASU 2015-03, “Simplifying the Presentation of Debt Issuance Costs.” This new guidance requires debt issuance costs to be presented in the balance sheet as a direct deduction from the carrying value of the associated debt liability, consistent with the presentation of a debt discount. This new guidance is effective for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years, and is required to be applied on a retrospective basis. We adopted this guidance, as required, in the first quarter of 2016 and now present our deferred securities issuance costs as a reduction of the related liabilities on our consolidated balance sheets for all periods presented. At December 31, 2016 and December 31, 2015, we included zero and $0.5 million, respectively, of deferred securities issuance costs as a reduction to our ABS issued and presented these amounts together as ABS issued, net on our consolidated balance sheets, and we included $7 million and $10 million, respectively, of deferred securities issuance costs as a reduction to our long-term debt and presented these amounts together as Long-term debt, net on our consolidated balance sheets. In February 2015, the FASB issued ASU 2015-02, “Consolidation (Topic 810) - Amendments to the Consolidation Analysis.” This new guidance provides a new scope exception for certain money market funds, makes targeted amendments to the current consolidation guidance, and ends the deferral granted to investment companies from applying the VIE guidance. This new guidance is effective for annual periods beginning after December 15, 2015. We adopted this guidance, as required, in the first quarter of 2016, which did not have a material impact on our consolidated financial statements. In March 2016, the FASB issued ASU 2016-09, "Compensation - Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting." This new guidance provides simplifications of the accounting for share-based payment transactions, including related income tax accounting, classification of awards, and classification on the statement of cash flows. In addition, this guidance permits the withholding of employee taxes related to the distribution of equity awards up to the maximum individual employee statutory tax rates. This new guidance is effective for fiscal years beginning after December 15, 2016 and early adoption is permitted. In the second quarter of 2016, we adopted this new guidance. Upon adoption, we elected to account for forfeitures on employee equity awards as they occur, rather than estimating expected forfeitures. The adoption of this guidance did not have a material impact on our consolidated financial statements. Other Recent Accounting Pronouncements In November 2016, the FASB issued ASU 2016-18, "Statement of Cash Flows (Topic 230): Restricted Cash." This new guidance amends previous guidance on how to classify and present changes in restricted cash on the statement of cash flows. This new guidance is effective for fiscal years beginning after December 15, 2017. Early adoption is permitted. We plan to adopt this new guidance by the required date and we will modify the presentation of our cash flow statement as required. In October 2016, the FASB issued ASU 2016-17, "Consolidation (Topic 810): Interests Held through Related Parties That Are under Common Control." This new guidance amends the consolidation guidance on how a reporting entity, that is the single decision maker of a VIE, evaluates whether it is the primary beneficiary of a VIE. This new guidance is effective for fiscal years beginning after December 15, 2016. Early adoption is permitted. We plan to adopt this new guidance by the required date and we do not expect it will have a material impact on our consolidated financial statements. In October 2016, the FASB issued ASU 2016-16, "Income Taxes (Topic 740): Intra-Entity Transfers of Assets Other Than Inventory." This new guidance allows an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. It also eliminates the exceptions for an intra-entity transfer of assets other than inventory. This new guidance is effective for fiscal years beginning after December 15, 2017. Early adoption is permitted. We plan to adopt this new guidance by the required date and we are currently evaluating the impact that this update will have on our consolidated financial statements. In August 2016, the FASB issued ASU 2016-15, "Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments." This new guidance provides guidance on how to present and classify certain cash receipts and cash payments in the statement of cash flows. This new guidance is effective for fiscal years beginning after December 15, 2017. Early adoption is permitted. We plan to adopt this new guidance by the required date and we are currently evaluating the impact that this update will have on our consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, "Financial Instruments - Credit Losses." This new guidance provides a new impairment model that is based on expected losses rather than incurred losses to determine the allowance for credit losses. This new guidance is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted for fiscal year beginning December 15, 2018. We plan to adopt this new guidance by the required date and we are currently evaluating the impact that this update will have on our consolidated financial statements. In February 2016, the FASB issued ASU 2016-02, "Leases." This new guidance requires lessees to recognize most leases on their balance sheet as a right-of-use asset and a lease liability. This new guidance retains a dual lease accounting model, which requires leases to be classified as either operating or capital leases for lessees, for purposes of income statement recognition. This new guidance is effective for fiscal years beginning after December 15, 2018. Early adoption is permitted. We plan to adopt this new guidance by the required date and we are currently evaluating the impact that this update will have on our consolidated financial statements. In January 2016, the FASB issued ASU 2016-01, "Recognition and Measurement of Financial Assets and Financial Liabilities." This new guidance amends accounting related to the classification and measurement of investments in equity securities and the presentation of certain fair value changes for financial liabilities measured at fair value. This new guidance also amends certain disclosure requirements associated with the fair value of financial instruments and it is effective for fiscal years beginning after December 15, 2017. We plan to adopt this new guidance by the required date and we are currently evaluating the impact that this update will have on our consolidated financial statements. In May 2014, the FASB issued ASU 2014-09, “Revenue from Contracts with Customers.” The update modifies the guidance companies use to recognize revenue from contracts with customers for transfers of goods or services and transfers of nonfinancial assets, unless those contracts are within the scope of other standards. The guidance also requires new qualitative and quantitative disclosures, including information about contract balances and performance obligations. In July 2015, the FASB approved a one year deferral of the effective date. Accordingly, the update is effective for us in the first quarter of 2018 with retrospective application to prior periods presented or as a cumulative effect adjustment in the period of adoption. Early adoption is permitted in the first quarter of 2017. In March 2016, the FASB issued ASU 2016-08, "Revenue from Contracts with Customers (Topic 606): Principal versus Agent Considerations (Reporting Revenue Gross versus Net)." This new guidance provides additional implementation guidance on how an entity should identify the unit of accounting for the principal versus agent evaluations. In May 2016, the FASB issued ASU 2016-12, "Revenue from Contracts with Customers (Topic 606): Narrow-Scope Improvements and Practical Expedients." This new ASU provides more specific guidance on certain aspects of Topic 606. Based on our initial evaluation of these new accounting standards, we do not expect that their adoption will have a material impact on our consolidated financial statements, as financial instruments are explicitly scoped out of the standard and nearly all of our income is generated from financial instruments. We will continue evaluating this new standard and caution that any changes in our business or additional amendments to this standard could change our initial assessment. |
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Balance Sheet Netting | Certain of our derivatives and short-term debt are subject to master netting arrangements or similar agreements. Under GAAP, in certain circumstances we may elect to present certain financial assets, liabilities and related collateral subject to master netting arrangements in a net position on our consolidated balance sheets. However, we do not report any of these financial assets or liabilities on a net basis, and instead present them on a gross basis on our consolidated balance sheets. The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at December 31, 2016 and December 31, 2015. Table 3.1 – Offsetting of Financial Assets, Liabilities, and Collateral
For each category of financial instrument set forth in the table above, the assets and liabilities resulting from individual transactions within that category between us and a counterparty are subject to a master netting arrangement or similar agreement with that counterparty that provides for individual transactions to be aggregated and treated as a single transaction. For certain categories of these instruments, some of our transactions are cleared and settled through one or more clearinghouses that are substituted as our counterparty. References herein to master netting arrangements or similar agreements include the arrangements and agreements governing the clearing and settlement of these transactions through the clearinghouses. In the event of the termination and close-out of any of those transactions, the corresponding master netting agreement or similar agreement provides for settlement on a net basis. Any such settlement would include the proceeds of the liquidation of any corresponding collateral, subject to certain limitations on termination, settlement, and liquidation of collateral that may apply in the event of the bankruptcy or insolvency of a party. Such limitations should not inhibit the eventual practical realization of the principal benefits of those transactions or the corresponding master netting arrangement or similar agreement and any corresponding collateral. |
Summary of Significant Accounting Policies (Tables) |
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Offsetting of Financial Assets, Liabilities, and Collateral | The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at December 31, 2016 and December 31, 2015. Table 3.1 – Offsetting of Financial Assets, Liabilities, and Collateral
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Principles of Consolidation (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Variable Interest Entity [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents information related to securitization transactions that occurred during the years ended December 31, 2016 and 2015. Table 4.2 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood
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Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table summarizes the cash flows during the years ended December 31, 2016 and 2015 between us and the unconsolidated VIEs sponsored by us and accounted for as sales since 2012. Table 4.3 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood
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MSR Assumptions Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents the key weighted average assumptions used to measure MSRs and securities retained at the date of securitization for securitizations completed during 2016 and 2015. Table 4.4 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood
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Unconsolidated Variable Interest Entity's Sponsored by Redwood Summary | The following table presents additional information at December 31, 2016 and December 31, 2015, related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.5 – Unconsolidated VIEs Sponsored by Redwood
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Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at December 31, 2016 and December 31, 2015. Table 4.6 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood
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Loan Transfers Accounted for as Secured Borrowings | The following table presents a summary of our interests in third-party VIEs at December 31, 2016, grouped by security type. Table 4.7 – Third-Party Sponsored VIE Summary
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Variable Interest Entity, Primary Beneficiary | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Variable Interest Entities | The following table presents a summary of the assets and liabilities of these VIEs. Intercompany balances have been eliminated for purposes of this presentation. Table 4.1 – Assets and Liabilities of Consolidated VIEs
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Fair Value of Financial Instruments (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Carrying Values and Estimated Fair Values of Assets and Liabilities | The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at December 31, 2016 and December 31, 2015. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities
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Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at December 31, 2016 and December 31, 2015, as well as the fair value hierarchy of the valuation inputs used to measure fair value. Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis
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Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the years ended December 31, 2016 and December 31, 2015. Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis
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Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held and Included in Net Income | The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at December 31, 2016, 2015, and 2014. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the years ended December 31, 2016, 2015, and 2014 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at December 31, 2016, 2015, and 2014 Included in Net Income
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Assets and Liabilities Measured at Fair Value on Non-Recurring Basis | The following table presents information on assets recorded at fair value on a non-recurring basis at December 31, 2016 and December 31, 2015. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at December 31, 2016 and December 31, 2015. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis
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Market Valuation Adjustments | The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the years ended December 31, 2016, 2015, and 2014. Table 5.6 – Market Valuation Gains and Losses, Net
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Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value | The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value. Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments
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Residential Loans (Tables) - Residential Loans |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mortgage Loans on Real Estate [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia entities at December 31, 2016 and December 31, 2015. Table 6.1 – Classifications and Carrying Values of Residential Loans
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Geographic Concentration of Loans Recorded on Consolidated Balance Sheet | The following table presents the geographic concentration of residential loans recorded on our consolidated balance sheets at December 31, 2016 and 2015. Table 6.2 – Geographic Concentration of Residential Loans
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Loan Product Type and Accompanying Loan Characteristics of Loans | The following table displays the loan product type and accompanying loan characteristics of residential loans recorded on our consolidated balance sheets at December 31, 2016 and 2015. Table 6.3 – Product Types and Characteristics of Residential Loans
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Summary of Activity in Allowance for Loans Losses | The following table summarizes the activity in the allowance for loan losses for the years ended December 31, 2016, 2015, and 2014. Table 6.4 – Allowance for Loan Losses
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Commercial Loans (Tables) - Commercial Loans |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying value of commercial loans at December 31, 2016 and December 31, 2015. Table 7.1 – Classifications and Carrying Value of Commercial Loans
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Carrying Value for Loans Held-for-Investment | The following table provides additional information for our commercial loans held-for-investment at amortized cost at December 31, 2016 and December 31, 2015. Table 7.2 – Carrying Value for Commercial Loans Held-for-Investment at Amortized Cost
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Commercial Loans Held-for-Investment by Risk Category | The following table presents the principal balance of commercial loans held-for-investment by risk category. Table 7.3 – Principal Balance of Commercial Loans Held-for-Investment by Risk Category
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Summary of Activity in Allowance for Loans Losses | The following table summarizes the activity in the allowance for commercial loan losses for the years ended December 31, 2016, 2015, and 2014. Table 7.4 – Activity in the Allowance for Commercial Loan Losses
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Loans Evaluated for Impairment | The following table summarizes the balances for loans collectively evaluated for impairment at December 31, 2016 and December 31, 2015. Table 7.5 – Loans Collectively Evaluated for Impairment Review
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Real Estate Securities (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Values of Real Estate Securities by Collateral Type and Entity | The following table presents the fair values of our real estate securities by type at December 31, 2016 and December 31, 2015. Table 8.1 – Fair Values of Real Estate Securities by Type
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Trading Securities by Collateral Type | The following table presents the fair value of trading securities by position and collateral type at December 31, 2016 and December 31, 2015. Table 8.2 – Trading Securities by Position and Collateral Type
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Available for Sale Securities by Collateral Type | The following table presents the fair value of our available-for-sale securities by position and collateral type at December 31, 2016 and December 31, 2015. Table 8.3 – Available-for-Sale Securities by Position and Collateral Type
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Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities | The following table presents the components of carrying value (which equals fair value) of AFS securities at December 31, 2016 and December 31, 2015. Table 8.4 – Carrying Value of AFS Securities
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Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities | The following table presents the changes for the years ended December 31, 2016 and 2015, in unamortized discount and designated credit reserves on residential AFS securities. Table 8.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
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Components of Carrying Value of Available for Sale Securities in Unrealized Loss Position | The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at December 31, 2016 and December 31, 2015. Table 8.6 – Components of Fair Value of Residential AFS Securities by Holding Periods
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Summary of Significant Valuation Assumptions for Available for Sale Securities | The table below summarizes the significant valuation assumptions we used for our AFS securities in unrealized loss positions at December 31, 2016. Table 8.7 – Significant Valuation Assumptions
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Activity of Credit Component of Other-than-Temporary Impairments | The following table details the activity related to the credit loss component of OTTI (i.e., OTTI recognized through earnings) for AFS securities held at December 31, 2016, 2015, and 2014 for which a portion of an OTTI was recognized in other comprehensive income. Table 8.8 – Activity of the Credit Component of Other-than-Temporary Impairments
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Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities | The following table presents the gross realized gains and losses on sales and calls of AFS securities for the years ended December 31, 2016, 2015, and 2014. Table 8.9 – Gross Realized Gains and Losses on AFS Securities
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Mortgage Servicing Rights (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transfers and Servicing [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans | The following table presents the fair value of MSRs and the aggregate principal amounts of associated loans as of December 31, 2016 and December 31, 2015. Table 9.1 – Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans
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Activity for Residential First-Lien Mortgage Servicing Rights | The following table presents activity for MSRs for the years ended December 31, 2016, 2015, and 2014. Table 9.2 – Activity for MSRs
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Details of Retention and Purchase of MSRs | The following table details the retention and purchase of MSRs during the years ended December 31, 2016 and 2015. Table 9.3 – MSR Additions
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Income from Mortgage Servicing Rights, Net | The following table presents the components of our MSR income for the ended December 31, 2016, 2015, and 2014. Table 9.4 – Components of MSR Income (Loss), net
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Derivative Financial Instruments (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Aggregate Fair Value and Notional Amount of Derivative Financial Instruments | The following table presents the fair value and notional amount of our derivative financial instruments at December 31, 2016 and December 31, 2015. Table 10.1 – Fair Value and Notional Amount of Derivative Financial Instruments
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Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges | The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the years ended December 31, 2016, 2015, and 2014. Table 10.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges
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Other Assets and Liabilities (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Other Assets | Other assets at December 31, 2016 and December 31, 2015, are summarized in the following table. Table 11.1 – Components of Other Assets
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Summary of Accrued Expenses and Other Liabilities | Accrued expenses and other liabilities at December 31, 2016 and December 31, 2015 are summarized in the following table. Table 11.2 – Components of Accrued Expenses and Other Liabilities
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Schedule of Activities of Restructuring Liabilities | The following table presents our restructuring activities and the associated liabilities during the year ended December 31, 2016. Table 11.3 – Activities of Restructuring Liabilities
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Short-Term Debt (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt | The table below summarizes the facilities that are available to us, the outstanding balances, the weighted average interest rate, and the maturity information of the short-term debt at December 31, 2016 and December 31, 2015. Table 12.1 – Short-Term Debt Facilities
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Remaining Maturities of Short Term Debt | The following table presents the remaining maturities of short-term debt by the type of collateral securing the debt at December 31, 2016. Table 12.2 – Short-Term Debt by Collateral Type and Remaining Maturities
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Asset-Backed Securities Issued (Tables) |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Debt Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Carrying Value of ABS Issued by Consolidated Securitization Entities Sponsored, along with Other Selected Information | The carrying values of ABS issued by consolidated securitization entities we sponsored at December 31, 2016 and December 31, 2015, along with other selected information, are summarized in the following table. Table 13.1 – Asset-Backed Securities Issued
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Summary of Accrued Interest Payable on ABS Issued | The following table summarizes the accrued interest payable on ABS issued at December 31, 2016 and December 31, 2015. Interest due on consolidated ABS issued is payable monthly. Table 13.2 – Accrued Interest Payable on Asset-Backed Securities Issued
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Summary of Carrying Value Components of Collateral for ABS Issued and Outstanding | The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at December 31, 2016 and December 31, 2015. Table 13.3 – Collateral for Asset-Backed Securities Issued
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Long-Term Debt (Tables) |
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Dec. 31, 2016 | ||||||||||||||||||||||||||||||||||||
Debt Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||
Schedule of Maturities of Long-term Debt | The following table presents maturities of our FHLBC borrowings by year at December 31, 2016. Table 14.1 – Maturities of FHLBC Borrowings by Year
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Commitments and Contingencies (Tables) |
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||
Future Lease Commitments | The following table presents our future lease commitments at December 31, 2016. Table 15.1 – Future Lease Commitments by Year
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Equity (Tables) |
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Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Changes to Accumulated Other Comprehensive Income (Loss) by Component | The following table provides a summary of changes to accumulated other comprehensive income by component for the years ended December 31, 2016 and 2015. Table 16.1 – Changes in Accumulated Other Comprehensive Income by Component
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Reclassifications out of Accumulated Other Comprehensive Income (Loss) | The following table provides a summary of reclassifications out of accumulated other comprehensive income for the years ended December 31, 2016 and 2015. Table 16.2 – Reclassifications Out of Accumulated Other Comprehensive Income
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Basic and Diluted Earnings (Loss) Per Common Share | The following table provides the basic and diluted earnings per common share computations for the years ended December 31, 2016, 2015, and 2014. Table 16.3 – Basic and Diluted Earnings per Common Share
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Equity Compensation Plans (Tables) |
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Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity Compensation Plans | The unamortized compensation cost of awards issued under the Incentive Plan and purchases under the Employee Stock Purchase Plan totaled $18 million at December 31, 2016, as shown in the following table. Table 17.1 – Activities of Equity Compensation Costs by Award Type
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Restricted Stock Outstanding | The following table summarizes the activities related to restricted stock for the years ended December 31, 2016, 2015, and 2014. Table 17.2 – Restricted Stock Activities
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Deferred Stock Units Activity | The following table summarizes the activities related to DSUs for the years ended December 31, 2016, 2015, and 2014. Table 17.3 – Deferred Stock Units Activities
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Summary of Activity Related to ESPP | The following table summarizes the activities related to the ESPP for the years ended December 31, 2016, 2015, and 2014. Table 17.4 – Employee Stock Purchase Plan Activities
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Summary of Activity Related to Executive Deferred Compensation Plan | The following table summarizes the cash account activities related to the EDCP for the years ended December 31, 2016, 2015, and 2014. Table 17.5 – EDCP Cash Accounts Activities
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Mortgage Banking Activities, Net (Tables) |
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Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Components of Mortgage Banking Activities, Net | The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income for the years ended December 31, 2016, 2015, and 2014. Table 18.1 – Mortgage Banking Activities
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Investment Fair Value Changes, Net (Tables) |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments Fair Value Changes | The following table presents the components of Investment fair value changes, net, recorded in our consolidated statements of income for the years ended December 31, 2016, 2015 and 2014. Table 19.1 – Investment Fair Value Changes
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Operating Expenses (Tables) |
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Other Income and Expenses [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Components of Operating Expenses | Components of our operating expenses for the years ended December 31, 2016, 2015 and 2014 are presented in the following table. Table 20.1 – Components of Operating Expenses
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Taxes (Tables) |
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Income Tax Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Components of Net Deferred Tax Assets | Components of our net deferred tax assets at December 31, 2016 and 2015 are presented in the following table. Table 21.1 – Deferred Tax Assets (Liabilities)
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Provision for Income Taxes | The following table summarizes the provision for income taxes for the years ended December 31, 2016, 2015, and 2014. Table 21.2 – Provision for Income Taxes
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Reconciliation of Statutory Tax Rate to Effective Tax Rate | The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at December 31, 2016, 2015, and 2014. Table 21.3 – Reconciliation of Statutory Tax Rate to Effective Tax Rate
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Segment Information (Tables) |
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Reporting Information [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Information by Segment | The following tables present financial information by segment for the years ended December 31, 2016, 2015, and 2014. Table 22.1 – Business Segment Financial Information
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Supplemental Balance Sheet | The following table presents supplemental information by segment at December 31, 2016 and December 31, 2015. Table 22.3 – Supplemental Segment Information
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Corporate and Other | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Reporting Information [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Information by Segment | The following table presents the components of Corporate/Other for the years ended December 31, 2016, 2015, and 2014. Table 22.2 – Components of Corporate/Other
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Quarterly Financial Data - Unaudited (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Quarterly Financial Information Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Quarterly Financial Data |
|
Organization (Details) |
12 Months Ended |
---|---|
Dec. 31, 2016
Segment
| |
Accounting Policies [Abstract] | |
Number of operating segments | 3 |
Summary of Significant Accounting Policies - Additional Information (Details) - USD ($) |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Significant Accounting Policies [Line Items] | |||
Risk-sharing arrangement term | 10 years | ||
Special Purpose Entities, assets | $ 49,000,000 | $ 63,000,000 | |
Special Purpose Entities, liabilities | $ 22,000,000 | 25,000,000 | |
Incentive Plan, mandatory holding period before awards vest | 3 years | ||
Employee Stock Purchase Plan, percentage of common stock fair value that employees can purchase | 85.00% | ||
Employees maximum 401(k) contribution | 100.00% | ||
Employer matching contributions | $ 600,000 | 800,000 | $ 600,000 |
Asset-backed securities issued, net | |||
Significant Accounting Policies [Line Items] | |||
Deferred debt issuance costs | 0 | 542,000 | |
Asset-backed securities issued, net | Accounting Standards Update 2015-03 | |||
Significant Accounting Policies [Line Items] | |||
Deferred debt issuance costs | 0 | 542,000 | |
Long-term Debt | |||
Significant Accounting Policies [Line Items] | |||
Deferred debt issuance costs | 7,081,000 | 10,438,000 | |
Long-term Debt | Accounting Standards Update 2015-03 | |||
Significant Accounting Policies [Line Items] | |||
Deferred debt issuance costs | $ (7,000,000) | $ 10,000,000 | |
Minimum | |||
Significant Accounting Policies [Line Items] | |||
Percentage of losses assumed on pool of loans sold | 1.00% | ||
Incentive Plan, awards vesting period (in years) | 3 years | ||
Maximum | |||
Significant Accounting Policies [Line Items] | |||
Percentage of losses assumed on pool of loans sold | 2.25% | ||
Incentive Plan, awards vesting period (in years) | 4 years |
Summary of Significant Accounting Policies - Offsetting of Financial Assets, Liabilities, and Collateral (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
|||
---|---|---|---|---|---|
Offsetting Asset and Liabilities [Line Items] | |||||
Gross Amounts of Recognized Assets | $ 33,280 | $ 11,722 | |||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |||
Net Amounts of Assets Presented in Consolidated Balance Sheet | [1] | 36,595 | 16,393 | ||
Total Net Amounts of Assets Presented in Consolidated Balance Sheet | 33,280 | 11,722 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (11,672) | (7,549) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (9,148) | (2,930) | |||
Net Amount | 12,460 | 1,243 | |||
Gross Amounts of Recognized Liabilities | (854,067) | (1,778,711) | |||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |||
Net Amounts of Liabilities Presented in Consolidated Balance Sheet - Derivatives | [1] | (66,329) | (62,794) | ||
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (854,067) | (1,778,711) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 803,211 | 1,724,930 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 50,111 | 53,167 | |||
Net Amount | (745) | (614) | |||
Interest rate agreements | |||||
Offsetting Asset and Liabilities [Line Items] | |||||
Gross Amounts of Recognized Assets | 24,980 | 7,781 | |||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |||
Net Amounts of Assets Presented in Consolidated Balance Sheet | 24,980 | 7,781 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (7,736) | (5,651) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (4,784) | (1,917) | |||
Net Amount | 12,460 | 213 | |||
Gross Amounts of Recognized Liabilities - Derivatives | (56,919) | (58,366) | |||
Gross Amounts Offset in Consolidated Balance Sheet - Derivatives | 0 | 0 | |||
Net Amounts of Liabilities Presented in Consolidated Balance Sheet - Derivatives | (56,919) | (58,366) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments - Derivatives | 7,736 | 5,651 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged - Derivatives | 49,183 | 52,715 | |||
Net Amount - Derivatives | 0 | 0 | |||
Credit default index swaps | |||||
Offsetting Asset and Liabilities [Line Items] | |||||
Gross Amounts of Recognized Assets | 1,207 | ||||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | ||||
Net Amounts of Assets Presented in Consolidated Balance Sheet | 1,207 | ||||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 0 | ||||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (720) | ||||
Net Amount | 487 | ||||
TBAs | |||||
Offsetting Asset and Liabilities [Line Items] | |||||
Gross Amounts of Recognized Assets | 8,300 | 2,734 | |||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |||
Net Amounts of Assets Presented in Consolidated Balance Sheet | 8,300 | 2,734 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (3,936) | (1,898) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (4,364) | (293) | |||
Net Amount | 0 | 543 | |||
Gross Amounts of Recognized Liabilities - Derivatives | (4,681) | (2,519) | |||
Gross Amounts Offset in Consolidated Balance Sheet - Derivatives | 0 | 0 | |||
Net Amounts of Liabilities Presented in Consolidated Balance Sheet - Derivatives | (4,681) | (2,519) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments - Derivatives | 3,936 | 1,898 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged - Derivatives | 0 | 7 | |||
Net Amount - Derivatives | (745) | (614) | |||
Futures | |||||
Offsetting Asset and Liabilities [Line Items] | |||||
Gross Amounts of Recognized Liabilities - Derivatives | (928) | (445) | |||
Gross Amounts Offset in Consolidated Balance Sheet - Derivatives | 0 | 0 | |||
Net Amounts of Liabilities Presented in Consolidated Balance Sheet - Derivatives | (928) | (445) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments - Derivatives | 0 | 0 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged - Derivatives | 928 | 445 | |||
Net Amount - Derivatives | 0 | 0 | |||
Loan warehouse debt | |||||
Offsetting Asset and Liabilities [Line Items] | |||||
Gross Amounts of Recognized Liabilities - Other | (485,544) | (1,023,740) | |||
Gross Amounts Offset in Consolidated Balance Sheet - Other | 0 | 0 | |||
Net Amounts of Liabilities Presented in Consolidated Balance Sheet - Other | (485,544) | (1,023,740) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments - Other | 485,544 | 1,023,740 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged - Other | 0 | 0 | |||
Security repurchase agreements | |||||
Offsetting Asset and Liabilities [Line Items] | |||||
Gross Amounts of Recognized Liabilities - Other | (305,995) | (693,641) | |||
Gross Amounts Offset in Consolidated Balance Sheet - Other | 0 | 0 | |||
Net Amounts of Liabilities Presented in Consolidated Balance Sheet - Other | (305,995) | (693,641) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments - Other | 305,995 | 693,641 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged - Other | 0 | 0 | |||
Net Amount - Other | $ 0 | $ 0 | |||
|
Principles of Consolidation - Assets and Liabilities of Consolidated Variable Interest Entity's (Details) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2016
USD ($)
Investment
|
Dec. 31, 2015
USD ($)
Investment
|
|
Variable Interest Entity [Line Items] | ||
Assets | $ 798,317 | $ 1,195,574 |
Liabilities | $ 773,980 | $ 1,050,861 |
Number of VIEs | Investment | 20 | 22 |
Residential loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 791,636 | $ 1,021,870 |
Commercial loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 166,016 | |
Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 148 | 365 |
Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,000 | 2,428 |
Other assets | ||
Variable Interest Entity [Line Items] | ||
Assets | 5,533 | 4,895 |
Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 518 | 804 |
Accrued expenses and other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 100 | |
Asset-backed securities issued, net | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 773,462 | 1,049,957 |
Sequoia Entities | ||
Variable Interest Entity [Line Items] | ||
Assets | 798,317 | 1,028,124 |
Liabilities | $ 773,980 | $ 997,475 |
Number of VIEs | Investment | 20 | 21 |
Sequoia Entities | Residential loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 791,636 | $ 1,021,870 |
Sequoia Entities | Commercial loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Sequoia Entities | Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 148 | 228 |
Sequoia Entities | Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,000 | 1,131 |
Sequoia Entities | Other assets | ||
Variable Interest Entity [Line Items] | ||
Assets | 5,533 | 4,895 |
Sequoia Entities | Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 518 | 555 |
Sequoia Entities | Accrued expenses and other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 100 | |
Sequoia Entities | Asset-backed securities issued, net | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 773,462 | 996,820 |
Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 167,450 |
Liabilities | $ 0 | $ 53,386 |
Number of VIEs | Investment | 0 | 1 |
Commercial Securitization | Residential loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 0 | $ 0 |
Commercial Securitization | Commercial loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 166,016 | |
Commercial Securitization | Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 137 |
Commercial Securitization | Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 1,297 |
Commercial Securitization | Other assets | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Commercial Securitization | Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 0 | 249 |
Commercial Securitization | Accrued expenses and other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 0 | |
Commercial Securitization | Asset-backed securities issued, net | ||
Variable Interest Entity [Line Items] | ||
Liabilities | $ 0 | $ 53,137 |
Principles of Consolidation - Additional Information (Details) - Entity |
12 Months Ended | 48 Months Ended | |
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2016 |
|
Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Number of securitization entities to which asset transferred | 3 | 4 | 29 |
Principles of Consolidation - Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Variable Interest Entity [Line Items] | |||
MSRs recognized | $ 10,060 | $ 64,725 | $ 48,000 |
Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Principal balance of loans transferred | 1,036,584 | 1,375,532 | |
MSRs recognized | 6,451 | 8,202 | |
Variable Interest Entity, Not Primary Beneficiary | Trading Securities | |||
Variable Interest Entity [Line Items] | |||
Securities retained, at fair value | 3,573 | 252,222 | |
Variable Interest Entity, Not Primary Beneficiary | AFS Securities | |||
Variable Interest Entity [Line Items] | |||
Securities retained, at fair value | $ 5,554 | $ 7,852 |
Principles of Consolidation - Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Variable Interest Entity [Line Items] | ||
Proceeds from new transfers | $ 1,057,688 | $ 1,139,052 |
MSR fees received | 13,842 | 14,874 |
Funding of compensating interest | (338) | (363) |
Cash flows received on retained securities | $ 30,191 | $ 43,460 |
Principles of Consolidation - Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
MSRs | ||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ||
Prepayment rates | 21.00% | 14.00% |
Discount rates | 11.00% | 11.00% |
Senior Securities | ||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ||
Prepayment rates | 10.00% | |
Discount rates | 3.00% | |
Credit loss assumptions | 0.12% | |
Subordinate Securities | ||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ||
Prepayment rates | 15.00% | 8.00% |
Discount rates | 6.00% | 6.00% |
Credit loss assumptions | 0.25% | 0.24% |
Principles of Consolidation - Summary of Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
On-balance sheet assets, at fair value: | ||
Maximum loss exposure | $ 334,734 | $ 588,396 |
Principal balance of loans outstanding | 6,870,398 | 7,318,167 |
Principal balance of loans 30 days delinquent | 21,427 | 18,300 |
Interest-only, senior and subordinate securities, classified as trading | ||
On-balance sheet assets, at fair value: | ||
Securities | 41,909 | 258,697 |
Subordinate securities, classified as AFS | ||
On-balance sheet assets, at fair value: | ||
Securities | 234,025 | 272,715 |
MSRs | ||
On-balance sheet assets, at fair value: | ||
Securities | $ 58,800 | $ 56,984 |
Principles of Consolidation - Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
MSRs | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | $ 58,800 | $ 56,984 |
Expected life (in years) | 7 years | 7 years |
Prepayment speed assumption (annual CPR) (as a percent) | 11.00% | 11.00% |
Decrease in fair value from: | ||
10% adverse change | $ 2,226 | $ 2,868 |
25% adverse change | $ 5,284 | $ 6,119 |
Impact of adverse change in prepayment speed (as a percent) | 25.00% | 25.00% |
Discount rate assumption (as a percent) | 11.00% | 11.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 2,088 | $ 2,711 |
200 basis point increase | $ 4,032 | $ 4,745 |
Impact on discount rate of basis point increase (as a percent) | 1.00% | 1.00% |
Decrease in fair value from: | ||
Impact of adverse change in expected credit losses (as a percent) | 25.00% | 25.00% |
Senior Securities | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | $ 26,618 | $ 248,570 |
Expected life (in years) | 6 years | 5 years |
Prepayment speed assumption (annual CPR) (as a percent) | 8.00% | 10.00% |
Decrease in fair value from: | ||
10% adverse change | $ 1,075 | $ 2,042 |
25% adverse change | $ 2,569 | $ 4,810 |
Impact of adverse change in prepayment speed (as a percent) | 25.00% | 25.00% |
Discount rate assumption (as a percent) | 8.00% | 5.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 1,105 | $ 10,029 |
200 basis point increase | $ 2,128 | $ 19,365 |
Impact on discount rate of basis point increase (as a percent) | 1.00% | 1.00% |
Credit loss assumption (as a percent) | 0.25% | 0.25% |
Decrease in fair value from: | ||
10% higher losses | $ 19 | $ 35 |
25% higher losses | $ 49 | $ 86 |
Impact of adverse change in expected credit losses (as a percent) | 25.00% | 25.00% |
Subordinate Securities | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | $ 249,317 | $ 282,842 |
Expected life (in years) | 12 years | 12 years |
Prepayment speed assumption (annual CPR) (as a percent) | 12.00% | 12.00% |
Decrease in fair value from: | ||
10% adverse change | $ 997 | $ 901 |
25% adverse change | $ 2,494 | $ 2,278 |
Impact of adverse change in prepayment speed (as a percent) | 25.00% | 25.00% |
Discount rate assumption (as a percent) | 6.00% | 6.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 19,574 | $ 21,981 |
200 basis point increase | $ 36,574 | $ 41,156 |
Impact on discount rate of basis point increase (as a percent) | 1.00% | 1.00% |
Credit loss assumption (as a percent) | 0.25% | 0.25% |
Decrease in fair value from: | ||
10% higher losses | $ 1,174 | $ 1,244 |
25% higher losses | $ 2,933 | $ 3,129 |
Impact of adverse change in expected credit losses (as a percent) | 25.00% | 25.00% |
Interest Only Securities | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | $ 27,000 | $ 31,000 |
Principles of Consolidation - Summary of Redwood's Interest in Third-Party Variable Interest Entity's (Details) - Real estate securities $ in Thousands |
Dec. 31, 2016
USD ($)
|
---|---|
Variable Interest Entity [Line Items] | |
Assets | $ 742,504 |
Senior Securities | |
Variable Interest Entity [Line Items] | |
Assets | 146,995 |
Re-REMIC | |
Variable Interest Entity [Line Items] | |
Assets | 85,479 |
Subordinate Securities | |
Variable Interest Entity [Line Items] | |
Assets | $ 510,030 |
Fair Value of Financial Instruments - Carrying Values and Estimated Fair Values of Assets and Liabilities (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
|||
---|---|---|---|---|---|
Assets | |||||
Trading securities | $ 445,687 | $ 404,011 | |||
Available-for-sale securities | 572,752 | 829,245 | |||
MSR Fair Value | [1] | 118,526 | 191,976 | ||
Derivative assets | [1] | 36,595 | 16,393 | ||
Pledged collateral | 42,875 | 53,600 | |||
Liabilities | |||||
Derivative liabilities | [1] | 66,329 | 62,794 | ||
Commercial Loans At Lower Of Cost Or Market | |||||
Assets | |||||
Loans, held-for-sale | 3,000 | ||||
Carrying Value | |||||
Assets | |||||
Trading securities | 445,687 | 404,011 | |||
Available-for-sale securities | 572,752 | 829,245 | |||
MSR Fair Value | 118,526 | 191,976 | |||
Cash and cash equivalents | 212,844 | 220,229 | |||
Restricted cash | 8,623 | 5,567 | |||
Accrued interest receivable | 18,454 | 23,290 | |||
Derivative assets | 36,595 | 16,393 | |||
REO | 5,533 | 4,896 | |||
Margin receivable | 68,038 | 83,191 | |||
FHLBC stock | 43,393 | 34,437 | |||
Guarantee asset | 4,092 | 5,697 | |||
Pledged collateral | 42,875 | 53,600 | |||
Liabilities | |||||
Short-term debt | 791,539 | 1,855,003 | |||
Accrued interest payable | 9,608 | 8,936 | |||
Available-for-sale securities | 12,783 | 6,415 | |||
Guarantee obligation | 21,668 | 22,704 | |||
Derivative liabilities | 66,329 | 62,794 | |||
ABS issued, Fair value | 773,462 | 996,820 | |||
ABS issued, Amortized cost | 0 | 52,595 | |||
FHLBC long-term borrowings | 1,999,999 | 1,343,023 | |||
Commercial secured borrowings | 0 | 63,152 | |||
Convertible notes, net | 482,195 | 483,119 | |||
Trust preferred securities and subordinated notes, net | 138,489 | 138,443 | |||
Carrying Value | Commercial Loans Held-for-Investment, at Fair Value | |||||
Assets | |||||
Loans, held-for-investment | 0 | 67,657 | |||
Carrying Value | Commercial Loans Held-for-Investment, at Amortized Cost | |||||
Assets | |||||
Loans, held-for-investment | 0 | 295,849 | |||
Fair Value | |||||
Assets | |||||
Trading securities | 445,687 | 404,011 | |||
Available-for-sale securities | 572,752 | 829,245 | |||
MSR Fair Value | 118,526 | 191,976 | |||
Cash and cash equivalents | 212,844 | 220,229 | |||
Restricted cash | 8,623 | 5,567 | |||
Accrued interest receivable | 18,454 | 23,290 | |||
Derivative assets | 36,595 | 16,393 | |||
REO | 5,560 | 5,282 | |||
Margin receivable | 68,038 | 83,191 | |||
FHLBC stock | 43,393 | 34,437 | |||
Guarantee asset | 4,092 | 5,697 | |||
Pledged collateral | 42,875 | 53,600 | |||
Liabilities | |||||
Short-term debt | 791,539 | 1,855,003 | |||
Accrued interest payable | 9,608 | 8,936 | |||
Available-for-sale securities | 12,783 | 6,415 | |||
Guarantee obligation | 22,181 | 22,702 | |||
Derivative liabilities | 66,329 | 62,794 | |||
ABS issued, Fair value | 773,462 | 996,820 | |||
ABS issued, Amortized cost | 0 | 53,137 | |||
FHLBC long-term borrowings | 1,999,999 | 1,343,023 | |||
Commercial secured borrowings | 0 | 63,152 | |||
Convertible notes, net | 493,365 | 461,053 | |||
Trust preferred securities and subordinated notes, net | 96,255 | 83,700 | |||
Fair Value | Commercial Loans At Lower Of Cost Or Market | |||||
Assets | |||||
Loans, held-for-sale | 3,000 | ||||
Fair Value | Commercial Loans Held-for-Investment, at Fair Value | |||||
Assets | |||||
Loans, held-for-investment | 0 | 67,657 | |||
Fair Value | Commercial Loans Held-for-Investment, at Amortized Cost | |||||
Assets | |||||
Loans, held-for-investment | 0 | 300,824 | |||
Residential Loans | Carrying Value | Residential Loans | |||||
Assets | |||||
Loans, held-for-sale | 834,193 | 1,114,305 | |||
Residential Loans | Carrying Value | Residential loans, at lower of cost or fair value | |||||
Assets | |||||
Loans, held-for-sale | 1,206 | 1,433 | |||
Residential Loans | Carrying Value | Residential Loans Held For Investment at Fair Value | |||||
Assets | |||||
Loans, held-for-investment | 3,052,652 | 2,813,065 | |||
Residential Loans | Fair Value | Residential Loans | |||||
Assets | |||||
Loans, held-for-sale | 834,193 | 1,114,305 | |||
Residential Loans | Fair Value | Residential loans, at lower of cost or fair value | |||||
Assets | |||||
Loans, held-for-sale | 1,365 | 1,635 | |||
Residential Loans | Fair Value | Residential Loans Held For Investment at Fair Value | |||||
Assets | |||||
Loans, held-for-investment | 3,052,652 | 2,813,065 | |||
Commercial loans | Commercial Loans Held For Sale | |||||
Assets | |||||
Loans, held-for-sale | 39,141 | ||||
Commercial loans | Commercial Loans At Lower Of Cost Or Market | |||||
Assets | |||||
Loans, held-for-sale | 2,700 | 0 | |||
Commercial loans | Commercial Loans Held-for-Investment, at Fair Value | |||||
Assets | |||||
Loans, held-for-investment | 0 | 67,657 | |||
Commercial loans | Commercial Loans Held-for-Investment, at Amortized Cost | |||||
Assets | |||||
Loans, held-for-investment | 0 | 295,849 | |||
Commercial loans | Carrying Value | Commercial Loans Held For Sale | |||||
Assets | |||||
Loans, held-for-sale | 0 | 39,141 | |||
Commercial loans | Carrying Value | Commercial Loans At Lower Of Cost Or Market | |||||
Assets | |||||
Loans, held-for-sale | 0 | ||||
Commercial loans | Fair Value | Commercial Loans Held For Sale | |||||
Assets | |||||
Loans, held-for-sale | 0 | 39,141 | |||
Commercial loans | Fair Value | Commercial Loans At Lower Of Cost Or Market | |||||
Assets | |||||
Loans, held-for-sale | $ 2,700 | $ 0 | |||
|
Fair Value of Financial Instruments - Additional Information (Details) - USD ($) $ in Millions |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Real estate securities | Maximum | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Dealer marks of securities | 67.00% | |
Percentage of carrying value for which dealer quotes were received on securities | 78.00% | |
Percentage difference of internal valuation than dealer marks | 1.00% | |
Residential Senior Securities | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 5 | $ 236 |
Residential Subordinate Securities | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 288 | 164 |
Residential loans | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 4,850 | 10,210 |
Commercial loans | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 38 | 618 |
MSRs | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 25 | $ 95 |
MSRs | Maximum | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Percentage difference of internal valuation than dealer marks | 1.00% |
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
|||
---|---|---|---|---|---|
Assets | |||||
Trading securities | $ 445,687 | $ 404,011 | |||
Available-for-sale securities | 572,752 | 829,245 | |||
Derivative assets | [1] | 36,595 | 16,393 | ||
MSR Fair Value | [1] | 118,526 | 191,976 | ||
Pledged collateral | 42,875 | 53,600 | |||
Liabilities | |||||
Derivative liabilities | [1] | 66,329 | 62,794 | ||
Commercial secured borrowings | 0 | 63,152 | |||
Fair Value, Measurements, Recurring | |||||
Assets | |||||
Trading securities | 445,687 | 404,011 | |||
Available-for-sale securities | 572,752 | 829,245 | |||
Derivative assets | 36,595 | 16,393 | |||
MSR Fair Value | 118,526 | 191,976 | |||
Pledged collateral | 42,875 | 53,600 | |||
FHLBC stock | 43,393 | 34,437 | |||
Guarantee asset | 4,092 | 5,697 | |||
Liabilities | |||||
Derivative liabilities | 66,329 | 62,794 | |||
Commercial secured borrowings | 63,152 | ||||
ABS issued | 773,462 | 996,820 | |||
Fair Value, Measurements, Recurring | Residential Loans | |||||
Assets | |||||
Residential loans | 3,886,845 | 3,927,370 | |||
Fair Value, Measurements, Recurring | Commercial loans, at fair value | |||||
Assets | |||||
Residential loans | 106,798 | ||||
Fair Value, Measurements, Recurring | Level 1 | |||||
Assets | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Derivative assets | 8,300 | 2,734 | |||
MSR Fair Value | 0 | 0 | |||
Pledged collateral | 42,875 | 53,600 | |||
FHLBC stock | 0 | 0 | |||
Guarantee asset | 0 | 0 | |||
Liabilities | |||||
Derivative liabilities | 5,609 | 2,963 | |||
Commercial secured borrowings | 0 | ||||
ABS issued | 0 | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Residential Loans | |||||
Assets | |||||
Residential loans | 0 | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Commercial loans, at fair value | |||||
Assets | |||||
Residential loans | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | |||||
Assets | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Derivative assets | 24,980 | 8,988 | |||
MSR Fair Value | 0 | 0 | |||
Pledged collateral | 0 | 0 | |||
FHLBC stock | 43,393 | 34,437 | |||
Guarantee asset | 0 | 0 | |||
Liabilities | |||||
Derivative liabilities | 56,919 | 58,368 | |||
Commercial secured borrowings | 0 | ||||
ABS issued | 0 | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Residential Loans | |||||
Assets | |||||
Residential loans | 0 | 129,819 | |||
Fair Value, Measurements, Recurring | Level 2 | Commercial loans, at fair value | |||||
Assets | |||||
Residential loans | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | |||||
Assets | |||||
Trading securities | 445,687 | 404,011 | |||
Available-for-sale securities | 572,752 | 829,245 | |||
Derivative assets | 3,315 | 4,671 | |||
MSR Fair Value | 118,526 | 191,976 | |||
Pledged collateral | 0 | 0 | |||
FHLBC stock | 0 | 0 | |||
Guarantee asset | 4,092 | 5,697 | |||
Liabilities | |||||
Derivative liabilities | 3,801 | 1,463 | |||
Commercial secured borrowings | 63,152 | ||||
ABS issued | 773,462 | 996,820 | |||
Fair Value, Measurements, Recurring | Level 3 | Residential Loans | |||||
Assets | |||||
Residential loans | $ 3,886,845 | 3,797,551 | |||
Fair Value, Measurements, Recurring | Level 3 | Commercial loans, at fair value | |||||
Assets | |||||
Residential loans | $ 106,798 | ||||
|
Fair Value of Financial Instruments - Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Commercial Secured Borrowings | ||
Assets | ||
Transfer to FVO | $ 0 | |
Liabilities | ||
Beginning balance | $ 63,152 | 66,707 |
Acquisitions | 0 | 0 |
Sales | 0 | 0 |
Principal paydowns | (306) | (593) |
Gains (losses) in net income, net | 2,369 | (3,011) |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | (65,215) | 49 |
Ending Balance | 0 | 63,152 |
Asset-backed securities issued, net | ||
Assets | ||
Transfer to FVO | 1,302,216 | |
Liabilities | ||
Beginning balance | 996,820 | 0 |
Acquisitions | 0 | 0 |
Sales | 0 | (1,362) |
Principal paydowns | (208,215) | (312,800) |
Gains (losses) in net income, net | (8,275) | 8,366 |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | (6,868) | 400 |
Ending Balance | 773,462 | 996,820 |
Residential Loans | ||
Assets | ||
Beginning balance | 3,797,551 | 1,677,984 |
Transfer to FVO | 1,370,699 | |
Acquisitions | 4,747,564 | 5,231,532 |
Sales | (3,813,538) | (3,857,807) |
Principal paydowns | (806,081) | (612,473) |
Gains (losses) in net income, net | (33,893) | (6,071) |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | (4,758) | (6,313) |
Ending Balance | 3,886,845 | 3,797,551 |
Commercial loans | ||
Assets | ||
Beginning balance | 106,798 | 237,496 |
Transfer to FVO | 0 | |
Acquisitions | 37,625 | 617,519 |
Sales | (81,523) | (754,636) |
Principal paydowns | (476) | (780) |
Gains (losses) in net income, net | 2,791 | 7,199 |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | (65,215) | 0 |
Ending Balance | 0 | 106,798 |
Trading Securities | ||
Assets | ||
Beginning balance | 404,011 | 111,606 |
Transfer to FVO | 0 | |
Acquisitions | 292,875 | 399,990 |
Sales | (244,219) | (83,038) |
Principal paydowns | (17,827) | (7,245) |
Gains (losses) in net income, net | 10,847 | (17,302) |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | 0 | 0 |
Ending Balance | 445,687 | 404,011 |
AFS Securities | ||
Assets | ||
Beginning balance | 829,245 | 1,267,624 |
Transfer to FVO | 0 | |
Acquisitions | 34,520 | 33,370 |
Sales | (252,696) | (366,373) |
Principal paydowns | (62,229) | (131,387) |
Gains (losses) in net income, net | 48,399 | 72,612 |
Unrealized gains in OCI, net | (24,487) | (46,961) |
Other settlements, net | 0 | 360 |
Ending Balance | 572,752 | 829,245 |
MSRs | ||
Assets | ||
Beginning balance | 191,976 | 139,293 |
Transfer to FVO | 0 | |
Acquisitions | 25,362 | 95,281 |
Sales | (62,440) | (18,206) |
Principal paydowns | 0 | 0 |
Gains (losses) in net income, net | (36,372) | (24,392) |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | 0 | 0 |
Ending Balance | 118,526 | 191,976 |
Guarantee Asset | ||
Assets | ||
Beginning balance | 5,697 | 7,201 |
Transfer to FVO | 0 | |
Acquisitions | 0 | 0 |
Sales | 0 | 0 |
Principal paydowns | 0 | 0 |
Gains (losses) in net income, net | (1,605) | (1,377) |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | 0 | (127) |
Ending Balance | 4,092 | 5,697 |
Derivatives | ||
Assets | ||
Beginning balance | 3,208 | 1,119 |
Transfer to FVO | 0 | |
Acquisitions | 0 | 0 |
Sales | 0 | 0 |
Principal paydowns | 0 | 0 |
Gains (losses) in net income, net | 30,193 | 60,823 |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | (33,887) | (58,734) |
Ending Balance | $ (486) | $ 3,208 |
Fair Value of Financial Instruments - Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held Included in Net Income (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Loan purchase commitments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 liability | $ (486) | $ 0 | $ 0 |
Asset-backed securities issued, net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 liability | 8,275 | (8,366) | 0 |
Commercial Secured Borrowings | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 liability | 0 | 3,011 | 2,033 |
Residential Loans Held For Investment at Fair Value | Residential loans at Redwood | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | (17,370) | (5,541) | 16,512 |
Residential Loans Held For Investment at Fair Value | Residential loans at consolidated Sequoia entities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | (14,391) | 7,422 | 0 |
Commercial loans, at fair value | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | 0 | (2,620) | 3,357 |
Trading Securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | 7,184 | (13,391) | (25,216) |
AFS Securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | (368) | (246) | (434) |
MSRs | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | 42,964 | (3,471) | (15,239) |
Loan purchase commitments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | 0 | 4,252 | 1,119 |
Guarantee Asset | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | $ (1,605) | $ (1,504) | $ 0 |
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Non-Recurring Basis (Details) - Fair Value, Measurements, Nonrecurring - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Guarantee obligation | $ 4,414 | |
Gain (Loss) on assets measured at fair value on a non-recurring basis | 0 | |
Level 1 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Guarantee obligation | 0 | |
Level 2 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Guarantee obligation | 0 | |
Level 3 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Guarantee obligation | 4,414 | |
Residential loans, at lower of cost or fair value | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | $ 867 | 1,096 |
Gain (Loss) on assets measured at fair value on a non-recurring basis | (17) | 3 |
Residential loans, at lower of cost or fair value | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | 0 | 0 |
Residential loans, at lower of cost or fair value | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | 0 | 0 |
Residential loans, at lower of cost or fair value | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | 867 | 1,096 |
Commercial loans, at lower of cost or fair value | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | 2,700 | |
Gain (Loss) on assets measured at fair value on a non-recurring basis | (300) | |
Commercial loans, at lower of cost or fair value | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | 0 | |
Commercial loans, at lower of cost or fair value | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | 0 | |
Commercial loans, at lower of cost or fair value | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | 2,700 | |
REO | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
REO | 5,207 | 2,395 |
Gain (Loss) on assets measured at fair value on a non-recurring basis | (1,831) | (764) |
REO | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
REO | 0 | 0 |
REO | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
REO | 0 | 0 |
REO | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
REO | $ 5,207 | $ 2,395 |
Fair Value of Financial Instruments - Market Valuation Adjustments, Net (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage servicing rights income (loss), net | $ 14,353 | $ (3,922) | $ (4,261) |
Total Market Valuation Gains (Losses), Net | (12,917) | (51,975) | (298) |
Mortgage Banking Activities, Net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 36,445 | 6,482 | 30,985 |
Mortgage Banking Activities, Net | Residential Loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 5,786 | 3,712 | 51,312 |
Mortgage Banking Activities, Net | Residential loan purchase and forward sale commitments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 25,613 | 50,234 | 13,891 |
Mortgage Banking Activities, Net | Commercial loans, at fair value | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 433 | 10,265 | 20,788 |
Mortgage Banking Activities, Net | Net investments in consolidated Sequoia entities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 1,455 | (15,261) | (23,839) |
Mortgage Banking Activities, Net | Risk management derivatives, net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 3,158 | (42,468) | (31,167) |
Investment Fair Value Changes, Net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (28,574) | (21,357) | (10,202) |
Investment Fair Value Changes, Net | Net investments in consolidated Sequoia entities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (4,200) | (1,192) | (894) |
Investment Fair Value Changes, Net | Risk management derivatives, net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (9,112) | (9,677) | (7,792) |
Investment Fair Value Changes, Net | Residential loans, held-for-investment | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (23,102) | (6,337) | (697) |
Investment Fair Value Changes, Net | Trading securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 9,666 | (2,019) | (358) |
Investment Fair Value Changes, Net | Valuation adjustments on commercial loans held-for-sale | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (307) | 0 | 0 |
Investment Fair Value Changes, Net | Risk sharing investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (1,151) | (1,886) | 104 |
Investment Fair Value Changes, Net | Impairments on AFS securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (368) | (246) | (565) |
MSR Income (Loss), Net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage servicing rights income (loss), net | (20,788) | (37,100) | (21,081) |
MSR Income (Loss), Net | Risk management derivatives, net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage servicing rights income (loss), net | 15,584 | (12,708) | 0 |
MSR Income (Loss), Net | MSRs | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage servicing rights income (loss), net | $ (36,372) | $ (24,392) | $ (21,081) |
Fair Value of Financial Instruments - Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value (Details) |
12 Months Ended |
---|---|
Dec. 31, 2016
USD ($)
$ / loan
| |
Loan purchase commitments | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 486,000 |
Loan purchase commitments | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA price (in dollars per loan) | $ / loan | 2.66 |
Prepayment rate, percent | 15.00% |
Whole loan spread to swap rate, percent | 2.75% |
Whole loan spread to swap rate - hybrid, percent | 1.35% |
MSR multiple | 0.9 |
Pull-through rate, percent | 12.00% |
Loan purchase commitments | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA price (in dollars per loan) | $ / loan | 4.06 |
Prepayment rate, percent | 15.00% |
Whole loan spread to swap rate, percent | 3.05% |
Whole loan spread to swap rate - hybrid, percent | 2.75% |
MSR multiple | 5.4 |
Pull-through rate, percent | 100.00% |
Loan purchase commitments | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA price (in dollars per loan) | $ / loan | 3.98 |
Prepayment rate, percent | 15.00% |
Whole loan spread to swap rate, percent | 3.05% |
Whole loan spread to swap rate - hybrid, percent | 1.63% |
MSR multiple | 3.6 |
Pull-through rate, percent | 75.00% |
Asset-backed securities issued, net | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 773,462,000 |
Asset-backed securities issued, net | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 1.00% |
Loss severity, percent | 20.00% |
Discount rate, percent | 4.00% |
Credit support, percent | 0.00% |
Default rate, percent | 1.00% |
Asset-backed securities issued, net | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 20.00% |
Loss severity, percent | 32.00% |
Discount rate, percent | 8.00% |
Credit support, percent | 34.00% |
Default rate, percent | 12.00% |
Asset-backed securities issued, net | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 15.00% |
Loss severity, percent | 27.00% |
Discount rate, percent | 5.00% |
Credit support, percent | 9.00% |
Default rate, percent | 7.00% |
Jumbo fixed rate loans | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 2,871,120,000 |
Jumbo fixed rate loans | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA price (in dollars per loan) | $ / loan | 3.05 |
Whole loan spread to swap rate, percent | 2.75% |
Jumbo fixed rate loans | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA price (in dollars per loan) | $ / loan | 4.06 |
Whole loan spread to swap rate, percent | 3.05% |
Jumbo fixed rate loans | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA price (in dollars per loan) | $ / loan | 3.94 |
Whole loan spread to swap rate, percent | 3.04% |
Jumbo hybrid loans | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 50,974,000 |
Jumbo hybrid loans | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 15.00% |
Whole loan spread to swap rate, percent | 1.35% |
Jumbo hybrid loans | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 15.00% |
Whole loan spread to swap rate, percent | 2.75% |
Jumbo hybrid loans | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 15.00% |
Whole loan spread to swap rate, percent | 1.68% |
Jumbo loans committed to sell | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 173,114,000 |
Jumbo loans committed to sell | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan committed sales price (in dollars per loan) | $ / loan | 99.98 |
Jumbo loans committed to sell | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan committed sales price (in dollars per loan) | $ / loan | 102.06 |
Jumbo loans committed to sell | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan committed sales price (in dollars per loan) | $ / loan | 100.61 |
Loans held by consolidated Sequoia entities | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 791,636,000 |
Residential loans, at lower of cost or fair value | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 867,000 |
Residential loans, at lower of cost or fair value | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity, percent | 15.00% |
Residential loans, at lower of cost or fair value | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity, percent | 30.00% |
Residential loans, at lower of cost or fair value | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity, percent | 20.00% |
Trading and AFS securities | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 1,018,439,000 |
Trading and AFS securities | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 1.00% |
Loss severity, percent | 20.00% |
Discount rate, percent | 4.00% |
Credit support, percent | 0.00% |
Default rate, percent | 0.00% |
Trading and AFS securities | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 57.00% |
Loss severity, percent | 65.00% |
Discount rate, percent | 12.00% |
Credit support, percent | 48.00% |
Default rate, percent | 35.00% |
Trading and AFS securities | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 20.00% |
Loss severity, percent | 22.00% |
Discount rate, percent | 7.00% |
Credit support, percent | 3.00% |
Default rate, percent | 2.00% |
MSRs | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 118,526,000 |
MSRs | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 5.00% |
Discount rate, percent | 10.00% |
Per loan annual cost to service (in dollars per loan) | $ 72 |
MSRs | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 11.00% |
Discount rate, percent | 11.00% |
Per loan annual cost to service (in dollars per loan) | $ 82 |
MSRs | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 9.00% |
Discount rate, percent | 10.00% |
Per loan annual cost to service (in dollars per loan) | $ 77 |
Guarantee asset | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 4,092,000 |
Guarantee asset | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 10.00% |
Discount rate, percent | 11.00% |
Guarantee asset | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 10.00% |
Discount rate, percent | 11.00% |
Guarantee asset | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 10.00% |
Discount rate, percent | 11.00% |
REO | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 5,207,000 |
REO | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity, percent | 1.00% |
REO | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity, percent | 100.00% |
REO | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity, percent | 24.00% |
Residential Loans - Summary of Classifications and Carrying Value of Residential Loans (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
||
---|---|---|---|---|
Residential Loans Held For Sale | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | [1] | $ 835,399 | $ 1,115,738 | |
Residential Loans | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 830,000 | 1,110,000 | ||
Residential loans, at lower of cost or fair value | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 1,000 | 1,000 | ||
Residential Loans Held For Investment at Fair Value | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 1,790,000 | |||
Sequoia Entities | Residential Loans Held For Investment at Fair Value | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 792,000 | 1,020,000 | ||
Residential Loans | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 3,888,051 | 3,928,803 | ||
Residential Loans | Residential Loans Held For Sale | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 835,399 | 1,115,738 | ||
Residential Loans | Residential Loans | Conforming Loans | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 129,819 | |||
Residential Loans | Residential Loans | Jumbo Loans | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 834,193 | 984,486 | ||
Residential Loans | Residential loans, at lower of cost or fair value | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 1,206 | 1,433 | ||
Residential Loans | Residential Loans Held For Investment at Fair Value | Jumbo Loans | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 3,052,652 | 2,813,065 | ||
Residential Loans | Redwood | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 3,096,415 | 2,906,933 | ||
Residential Loans | Redwood | Residential Loans Held For Sale | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 835,399 | 1,115,738 | ||
Residential Loans | Redwood | Residential Loans | Conforming Loans | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 129,819 | |||
Residential Loans | Redwood | Residential Loans | Jumbo Loans | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 834,193 | 984,486 | ||
Residential Loans | Redwood | Residential loans, at lower of cost or fair value | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 1,206 | 1,433 | ||
Residential Loans | Redwood | Residential Loans Held For Investment at Fair Value | Jumbo Loans | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 2,261,016 | 1,791,195 | ||
Residential Loans | Sequoia Entities | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 791,636 | 1,021,870 | ||
Residential Loans | Sequoia Entities | Residential Loans Held For Sale | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 0 | 0 | ||
Residential Loans | Sequoia Entities | Residential Loans | Conforming Loans | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 0 | |||
Residential Loans | Sequoia Entities | Residential Loans | Jumbo Loans | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 0 | 0 | ||
Residential Loans | Sequoia Entities | Residential loans, at lower of cost or fair value | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | 0 | 0 | ||
Residential Loans | Sequoia Entities | Residential Loans Held For Investment at Fair Value | Jumbo Loans | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Loan market valuation adjustment | $ 791,636 | $ 1,021,870 | ||
|
Residential Loans - Additional Information (Details) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016
USD ($)
loan
|
Dec. 31, 2015
USD ($)
loan
|
Dec. 31, 2014
USD ($)
|
|
Mortgage Loans on Real Estate [Line Items] | |||
Trading | $ 445,687 | $ 404,011 | |
Transfers from loans held-for-sale to loans held-for-investment | 1,063,860 | 1,555,814 | $ 633,707 |
Transfers from loans held-for-investment to loans held-for-sale | $ 359,005 | $ 154,012 | $ 0 |
Fixed Rate Residential Mortgage | |||
Mortgage Loans on Real Estate [Line Items] | |||
Weighted average rate on loans | 4.10% | ||
Held-for sale residential loans | FHLB Chicago | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential mortgage loans securing FHLB advances | $ 2,250,000 | ||
Residential Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | loan | 1,114 | 1,763 | |
Principal value | $ 830,000 | $ 1,090,000 | |
Loan market valuation adjustment | 830,000 | 1,110,000 | |
Principal value | 4,850,000 | 10,210,000 | |
Principal balance of loans sold during period | 4,040,000 | 9,040,000 | |
Valuation adjustments | 6,000 | 4,000 | |
Loan pledged as collateral | 534,000 | ||
Loans held as assets amount in foreclosure | $ 1,000 | ||
Residential Loans | Financing Receivables, Equal to Greater than 90 Days Past Due | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | $ 1,000 | ||
Number of loans past due | loan | 0 | 1 | |
Number of loans in foreclosure | loan | 1 | ||
Residential Loans | Financing Receivables, Receivables In Foreclosure | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | $ 1,000 | ||
Residential loans, at lower of cost or fair value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | loan | 7 | 9 | |
Principal value | $ 2,000 | $ 2,000 | |
Loan market valuation adjustment | $ 1,000 | $ 1,000 | |
Number of loans in foreclosure | loan | 0 | 1 | |
Loans held as assets, 90 days or more past due | $ 300 | $ 400 | |
Loans held as assets amount in foreclosure | $ 100 | ||
Residential loans, at lower of cost or fair value | Financing Receivables, Equal to Greater than 90 Days Past Due | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans past due | loan | 1 | 1 | |
Residential Loans Held For Investment at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | loan | 3,068 | 2,398 | |
Principal value | $ 2,233,797 | $ 1,758,990 | |
Loan market valuation adjustment | $ 1,790,000 | ||
Number of loans past due | loan | 1 | 0 | |
Number of loans in foreclosure | loan | 0 | 0 | |
Valuation adjustments | $ (23,000) | $ (6,000) | |
Transfers from loans held-for-sale to loans held-for-investment | 1,060,000 | 1,500,000 | |
Transfers from loans held-for-investment to loans held-for-sale | $ 56,000 | $ 143,000 | |
FICO credit score | 773 | ||
Loan to value ratio | 65.00% | ||
Percentage of loans with fixed interest rate | 99.50% | ||
Residential Loans Held For Investment at Fair Value | Hybrid Residential Mortgages | |||
Mortgage Loans on Real Estate [Line Items] | |||
Weighted average rate on loans | 3.83% | ||
Residential Loans Held For Investment at Fair Value | Originated In 2014 and 2016 | |||
Mortgage Loans on Real Estate [Line Items] | |||
Percentage of loan portfolio | 89.00% | ||
Residential Loans Held For Investment at Fair Value | Originated During 2013 | |||
Mortgage Loans on Real Estate [Line Items] | |||
Percentage of loan portfolio | 5.00% | ||
Residential Loans Held For Investment at Fair Value | Originated In 2012 And Prior Years | |||
Mortgage Loans on Real Estate [Line Items] | |||
Percentage of loan portfolio | 6.00% | ||
Residential Loans Held For Investment at Fair Value | Sequoia Entities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | loan | 3,735 | 4,545 | |
Principal value | $ 887,000 | $ 1,120,000 | |
Loan market valuation adjustment | 792,000 | 1,020,000 | |
Loans held as assets, 90 days or more past due | 19,000 | 27,000 | |
Loans held as assets amount in foreclosure | $ 11,000 | 32,000 | |
FICO credit score | 728 | ||
Loan to value ratio | 66.00% | ||
Valuation adjustments | $ (14,000) | $ 7,000 | |
MSRs | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage servicing rights | $ 2,320,000 |
Residential Loans - Geographic Concentration of Residential Loans Recorded on Consolidated Balance Sheet (Details) |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Residential Loans Held For Sale | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Residential Loans Held For Sale | California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 40.00% | 41.00% |
Residential Loans Held For Sale | Texas | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 9.00% | 9.00% |
Residential Loans Held For Sale | Washington | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 8.00% | 6.00% |
Residential Loans Held For Sale | Colorado | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 4.00% | 5.00% |
Residential Loans Held For Sale | Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | 4.00% |
Residential Loans Held For Sale | Virginia | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | 3.00% |
Residential Loans Held For Sale | Georgia | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | 3.00% |
Residential Loans Held For Sale | Massachusetts | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | 2.00% |
Residential Loans Held For Sale | New York | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | 1.00% |
Residential Loans Held For Sale | Other states (none greater than 5%) | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 28.00% | 26.00% |
Residential loans, held-for-investment | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Residential loans, held-for-investment | California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 18.00% | 18.00% |
Residential loans, held-for-investment | Texas | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 6.00% | 6.00% |
Residential loans, held-for-investment | Washington | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | 2.00% |
Residential loans, held-for-investment | Colorado | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | 3.00% |
Residential loans, held-for-investment | Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 14.00% | 14.00% |
Residential loans, held-for-investment | Virginia | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | 3.00% |
Residential loans, held-for-investment | Georgia | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | 5.00% |
Residential loans, held-for-investment | Massachusetts | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | 2.00% |
Residential loans, held-for-investment | New York | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 8.00% | 8.00% |
Residential loans, held-for-investment | Other states (none greater than 5%) | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 39.00% | 39.00% |
Residential Loans Held For Investment at Fair Value | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Residential Loans Held For Investment at Fair Value | California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 42.00% | 39.00% |
Residential Loans Held For Investment at Fair Value | Texas | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 10.00% | 11.00% |
Residential Loans Held For Investment at Fair Value | Washington | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 4.00% | 3.00% |
Residential Loans Held For Investment at Fair Value | Colorado | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 4.00% | 5.00% |
Residential Loans Held For Investment at Fair Value | Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | 4.00% |
Residential Loans Held For Investment at Fair Value | Virginia | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | 4.00% |
Residential Loans Held For Investment at Fair Value | Georgia | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 1.00% | 1.00% |
Residential Loans Held For Investment at Fair Value | Massachusetts | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 4.00% | 4.00% |
Residential Loans Held For Investment at Fair Value | New York | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 4.00% | 5.00% |
Residential Loans Held For Investment at Fair Value | Other states (none greater than 5%) | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 23.00% | 24.00% |
Residential Loans - Geographic Concentration of Residential Loans Recorded on Consolidated Balance Sheet (Footnotes) (Details) - Other states (none greater than 5%) |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Residential Loans Held For Sale | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage per other state | 5.00% | 5.00% |
Residential loans, held-for-investment | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage per other state | 5.00% | 5.00% |
Residential Loans Held For Investment at Fair Value | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage per other state | 5.00% | 5.00% |
Residential Loans - Loan Product Type and Accompanying Loan Characteristics of Residential Loans (Details) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2016
USD ($)
loan
|
Dec. 31, 2015
USD ($)
loan
|
|
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.00% | |
Residential Loans Held For Investment at Fair Value | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 3,068 | 2,398 |
Principal value | $ 2,233,797 | $ 1,758,990 |
30-89 Days DQ | 4,299 | 5,357 |
90+ Days DQ | $ 237 | $ 0 |
Residential Loans Held For Investment at Fair Value | ARM Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 5 | |
Principal value | $ 3,501 | |
30-89 Days DQ | 0 | |
90+ Days DQ | 0 | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $251 to $500 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 251 | |
Loan Balance, maximum | $ 500 | |
Number of loans | loan | 2 | |
Principal value | $ 563 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $251 to $500 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.63% | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $251 to $500 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.75% | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $501 to $750 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | |
Loan Balance, maximum | $ 750 | |
Number of loans | loan | 2 | |
Principal value | $ 1,671 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $501 to $750 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.50% | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $501 to $750 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.50% | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $751 to $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | |
Loan Balance, maximum | $ 1,000 | |
Number of loans | loan | 1 | |
Principal value | $ 1,267 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $751 to $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.63% | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $751 to $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.63% | |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 11 | 56 |
Principal value | $ 10,257 | $ 42,268 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | 0 | 0 |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $0 to $250 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 251 | |
Loan Balance, maximum | $ 500 | |
Number of loans | loan | 1 | |
Principal value | $ 264 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $0 to $250 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.63% | |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $0 to $250 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.63% | |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $251 to $500 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 251 | |
Loan Balance, maximum | $ 500 | |
Number of loans | loan | 7 | |
Principal value | $ 2,963 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $251 to $500 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.88% | |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $251 to $500 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.88% | |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $501 to $750 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of loans | loan | 4 | 28 |
Principal value | $ 2,722 | $ 17,514 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $501 to $750 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.88% | 2.63% |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $501 to $750 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.65% | 4.90% |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $751 to $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | $ 751 |
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 2 | 15 |
Principal value | $ 1,726 | $ 12,994 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $751 to $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.50% | 2.75% |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $751 to $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.00% | 5.05% |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | Over $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | ||
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 4 | 6 |
Principal value | $ 5,545 | $ 8,797 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | Over $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | 2.88% |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | Over $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.20% | 5.20% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 3,057 | 2,337 |
Principal value | $ 2,223,540 | $ 1,713,221 |
30-89 Days DQ | 4,299 | 5,357 |
90+ Days DQ | 237 | 0 |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $0 to $250 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 0 | 0 |
Loan Balance, maximum | $ 250 | $ 250 |
Number of loans | loan | 26 | 29 |
Principal value | $ 4,643 | $ 5,295 |
30-89 Days DQ | 0 | 242 |
90+ Days DQ | $ 237 | $ 0 |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $0 to $250 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.67% | 3.64% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $0 to $250 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.08% | 5.38% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $251 to $500 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | $ 251 |
Loan Balance, maximum | $ 500 | $ 500 |
Number of loans | loan | 633 | 484 |
Principal value | $ 278,560 | $ 212,732 |
30-89 Days DQ | 264 | 913 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $251 to $500 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.80% | 3.13% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $251 to $500 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.13% | 5.13% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $501 to $750 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of loans | loan | 1,306 | 959 |
Principal value | $ 807,714 | $ 595,863 |
30-89 Days DQ | 2,803 | 3,213 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $501 to $750 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.75% | 2.94% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $501 to $750 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.25% | 5.25% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $751 to $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | $ 751 |
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 690 | 552 |
Principal value | $ 597,002 | $ 480,557 |
30-89 Days DQ | 0 | 989 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $751 to $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.75% | 2.90% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $751 to $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.63% | 5.00% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | Over $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | ||
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 402 | 313 |
Principal value | $ 535,621 | $ 418,774 |
30-89 Days DQ | 1,232 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | Fixed Loans | Over $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.80% | 3.14% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | Over $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.00% | 5.00% |
Residential loans, held-for-investment | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 3,735 | 4,545 |
Principal value | $ 886,981 | $ 1,122,415 |
30-89 Days DQ | 32,356 | 30,328 |
90+ Days DQ | $ 30,166 | $ 58,823 |
Residential loans, held-for-investment | ARM Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 3,698 | 4,504 |
Principal value | $ 869,290 | $ 1,101,588 |
30-89 Days DQ | 31,687 | 29,786 |
90+ Days DQ | 30,166 | 58,823 |
Residential loans, held-for-investment | ARM Loans | $0 to $250 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 0 | 0 |
Loan Balance, maximum | $ 250 | $ 250 |
Number of loans | loan | 2,623 | 3,133 |
Principal value | $ 297,646 | $ 355,415 |
30-89 Days DQ | 9,158 | 10,661 |
90+ Days DQ | $ 7,410 | $ 13,078 |
Residential loans, held-for-investment | ARM Loans | $0 to $250 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.63% | 0.38% |
Residential loans, held-for-investment | ARM Loans | $0 to $250 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.60% | 5.16% |
Residential loans, held-for-investment | ARM Loans | $251 to $500 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | $ 251 |
Loan Balance, maximum | $ 500 | $ 500 |
Number of loans | loan | 694 | 858 |
Principal value | $ 241,253 | $ 296,425 |
30-89 Days DQ | 9,177 | 9,620 |
90+ Days DQ | $ 10,059 | $ 15,345 |
Residential loans, held-for-investment | ARM Loans | $251 to $500 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.25% | 0.00% |
Residential loans, held-for-investment | ARM Loans | $251 to $500 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.75% | 5.63% |
Residential loans, held-for-investment | ARM Loans | $501 to $750 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of loans | loan | 203 | 269 |
Principal value | $ 121,919 | $ 161,273 |
30-89 Days DQ | 5,812 | 4,578 |
90+ Days DQ | $ 5,069 | $ 7,209 |
Residential loans, held-for-investment | ARM Loans | $501 to $750 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.88% | 0.63% |
Residential loans, held-for-investment | ARM Loans | $501 to $750 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.89% | 4.66% |
Residential loans, held-for-investment | ARM Loans | $751 to $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | $ 751 |
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 100 | 135 |
Principal value | $ 86,988 | $ 118,983 |
30-89 Days DQ | 2,750 | 3,586 |
90+ Days DQ | $ 3,322 | $ 8,473 |
Residential loans, held-for-investment | ARM Loans | $751 to $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.63% | 0.38% |
Residential loans, held-for-investment | ARM Loans | $751 to $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | 2.38% |
Residential loans, held-for-investment | ARM Loans | Over $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | ||
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 78 | 109 |
Principal value | $ 121,484 | $ 169,492 |
30-89 Days DQ | 4,790 | 1,341 |
90+ Days DQ | $ 4,306 | $ 14,718 |
Residential loans, held-for-investment | ARM Loans | Over $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.25% | 0.00% |
Residential loans, held-for-investment | ARM Loans | Over $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.75% | 2.63% |
Residential loans, held-for-investment | Hybrid ARM Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 37 | 41 |
Principal value | $ 17,691 | $ 20,827 |
30-89 Days DQ | 669 | 542 |
90+ Days DQ | 0 | 0 |
Residential loans, held-for-investment | Hybrid ARM Loans | $0 to $250 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 0 | 0 |
Loan Balance, maximum | $ 250 | $ 250 |
Number of loans | loan | 4 | 3 |
Principal value | $ 453 | $ 317 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential loans, held-for-investment | Hybrid ARM Loans | $0 to $250 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | 2.75% |
Residential loans, held-for-investment | Hybrid ARM Loans | $0 to $250 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | 2.88% |
Residential loans, held-for-investment | Hybrid ARM Loans | $251 to $500 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | $ 251 |
Loan Balance, maximum | $ 500 | $ 500 |
Number of loans | loan | 18 | 20 |
Principal value | $ 6,516 | $ 7,523 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential loans, held-for-investment | Hybrid ARM Loans | $251 to $500 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.63% | 2.63% |
Residential loans, held-for-investment | Hybrid ARM Loans | $251 to $500 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.13% | 2.88% |
Residential loans, held-for-investment | Hybrid ARM Loans | $501 to $750 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of loans | loan | 13 | 15 |
Principal value | $ 8,483 | $ 9,874 |
30-89 Days DQ | 669 | 542 |
90+ Days DQ | $ 0 | $ 0 |
Residential loans, held-for-investment | Hybrid ARM Loans | $501 to $750 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.75% | 2.63% |
Residential loans, held-for-investment | Hybrid ARM Loans | $501 to $750 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.13% | 2.88% |
Residential loans, held-for-investment | Hybrid ARM Loans | $751 to $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | $ 751 |
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 1 | 2 |
Principal value | $ 751 | $ 1,547 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential loans, held-for-investment | Hybrid ARM Loans | $751 to $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.13% | 2.75% |
Residential loans, held-for-investment | Hybrid ARM Loans | $751 to $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.13% | 2.75% |
Residential loans, held-for-investment | Hybrid ARM Loans | Over $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | ||
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 1 | 1 |
Principal value | $ 1,488 | $ 1,566 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential loans, held-for-investment | Hybrid ARM Loans | Over $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | 2.75% |
Residential loans, held-for-investment | Hybrid ARM Loans | Over $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | 2.75% |
Residential Loans Held For Sale | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 1,121 | 1,772 |
Principal value | $ 833,385 | $ 1,091,518 |
30-89 Days DQ | 0 | 4,346 |
90+ Days DQ | 300 | 1,852 |
Residential Loans Held For Sale | ARM Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 61 | 64 |
Loan Balance, maximum | $ 396 | $ 1,298 |
Number of loans | loan | 6 | 14 |
Principal value | $ 882 | $ 5,258 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 300 | $ 415 |
Residential Loans Held For Sale | ARM Loans | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 1.88% | 1.50% |
Residential Loans Held For Sale | ARM Loans | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.75% | 4.00% |
Residential Loans Held For Sale | Hybrid ARM Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 2 | $ 164 |
Loan Balance, maximum | $ 1,947 | $ 1,989 |
Number of loans | loan | 173 | 356 |
Principal value | $ 144,174 | $ 276,457 |
30-89 Days DQ | 0 | 2,249 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Sale | Hybrid ARM Loans | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.50% | 2.50% |
Residential Loans Held For Sale | Hybrid ARM Loans | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.00% | 4.25% |
Residential Loans Held For Sale | Fixed Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 404 | $ 30 |
Loan Balance, maximum | $ 1,997 | $ 2,332 |
Number of loans | loan | 942 | 1,402 |
Principal value | $ 688,329 | $ 809,803 |
30-89 Days DQ | 0 | 2,097 |
90+ Days DQ | $ 0 | $ 1,437 |
Residential Loans Held For Sale | Fixed Loans | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.99% | 2.75% |
Residential Loans Held For Sale | Fixed Loans | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.25% | 5.25% |
Residential Loans - Loan Product Type and Accompanying Loan Characteristics of Residential Loans (Footnotes) (Details) |
12 Months Ended |
---|---|
Dec. 31, 2015 | |
Receivables [Abstract] | |
Interest rate for borrowers whose current rate is less than applicable servicing fee | 0.00% |
Residential Loans - Summary of Activity in Allowance for Losses on Residential Loans (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||||
---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Reversal of provision for loan losses | $ 0 | $ 859 | $ 6,532 | $ (289) | $ 7,102 | $ 355 | $ (961) |
Held-for sale residential loans | |||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Balance at beginning of period | $ 0 | 0 | 21,338 | 25,427 | |||
Charge-offs, net | 0 | 0 | (4,966) | ||||
Reversal of provision for loan losses | 0 | 0 | 877 | ||||
Other adjustments | 0 | (21,338) | 0 | ||||
Balance at End of Period | $ 0 | $ 0 | $ 0 | $ 21,338 |
Commercial Loans - Summary of Classifications and Carrying Value of Commercial Loans (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
||
---|---|---|---|---|
Commercial Loans Held For Sale | ||||
Commercial Loans [Line Items] | ||||
Carrying Value | [1] | $ 2,700 | $ 39,141 | |
Commercial Loans At Lower Of Cost Or Market | ||||
Commercial Loans [Line Items] | ||||
Loans, at lower of cost or fair value | 3,000 | |||
Carrying Value | 3,000 | |||
Commercial Loans Held-for-Investment, at Amortized Cost | ||||
Commercial Loans [Line Items] | ||||
Carrying Value | 0 | 295,849 | ||
Commercial loans | ||||
Commercial Loans [Line Items] | ||||
Carrying Value | 2,700 | 402,647 | ||
Commercial loans | Commercial Loans Held For Sale | ||||
Commercial Loans [Line Items] | ||||
Loans, at lower of cost or fair value | 39,141 | |||
Commercial loans | Commercial Loans At Lower Of Cost Or Market | ||||
Commercial Loans [Line Items] | ||||
Loans, at lower of cost or fair value | 2,700 | 0 | ||
Commercial loans | Commercial Loans Held-for-Investment, at Fair Value | ||||
Commercial Loans [Line Items] | ||||
Loans, held-for-investment | 0 | 67,657 | ||
Commercial loans | Commercial Loans Held-for-Investment, at Amortized Cost | ||||
Commercial Loans [Line Items] | ||||
Loans, held-for-investment | $ 0 | $ 295,849 | ||
|
Commercial Loans - Additional Information (Details) |
1 Months Ended | 3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2016
USD ($)
|
Dec. 31, 2016
USD ($)
|
Sep. 30, 2016
USD ($)
|
Jun. 30, 2016
USD ($)
|
Dec. 31, 2015
USD ($)
|
Jun. 30, 2015
USD ($)
|
Dec. 31, 2016
USD ($)
loan
|
Dec. 31, 2015
USD ($)
loan
|
Dec. 31, 2014
USD ($)
|
||||
Commercial Loans [Line Items] | ||||||||||||
Transfers from loans held-for-investment to loans held-for-sale | $ 359,005,000 | $ 154,012,000 | $ 0 | |||||||||
Senior commercial loans, held for sale | 4,953,619,000 | 11,045,813,000 | 9,917,943,000 | |||||||||
Sale of loan for third party, held for sale | 4,192,671,000 | 9,761,010,000 | 8,126,249,000 | |||||||||
Investment fair value changes, net | (28,574,000) | (21,357,000) | $ (10,202,000) | |||||||||
Yield maintenance fees received | $ 1,000,000 | $ 1,000,000 | $ 5,000,000 | $ 2,000,000 | $ 2,000,000 | 2,000,000 | ||||||
Commercial Loans Held-for-Investment, at Amortized Cost | ||||||||||||
Commercial Loans [Line Items] | ||||||||||||
Commercial loans financed through Commercial Securitization entity | 0 | 166,000,000 | 0 | 166,000,000 | ||||||||
Loan pledged as collateral | 0 | 135,000,000 | $ 0 | $ 135,000,000 | ||||||||
Number of loans | loan | 0 | 59 | ||||||||||
Carrying value | 0 | 295,849,000 | $ 0 | $ 295,849,000 | ||||||||
Yield maintenance fees received | 5,000,000 | 4,000,000 | ||||||||||
Senior commercial loans, held for Investment | 0 | 22,000,000 | ||||||||||
Repayments received | 70,000,000 | 57,000,000 | ||||||||||
Commercial loans, held-for-investment | ||||||||||||
Commercial Loans [Line Items] | ||||||||||||
Transferred commercial mezzanine loans, unpaid principal balance | $ 67,000,000 | |||||||||||
Transfers from loans held-for-investment to loans held-for-sale | 70,000,000 | |||||||||||
Carrying value | [1] | 0 | 363,506,000 | 0 | $ 363,506,000 | |||||||
Commercial Loans Held For Sale | ||||||||||||
Commercial Loans [Line Items] | ||||||||||||
Number of loans | loan | 4 | |||||||||||
Carrying value | [1] | 2,700,000 | 39,141,000 | 2,700,000 | $ 39,141,000 | |||||||
Principal value | $ 39,000,000 | 39,000,000 | ||||||||||
Senior commercial loans, held for sale | 38,000,000 | 618,000,000 | ||||||||||
Sale of loan for third party, held for sale | 76,000,000 | 741,000,000 | ||||||||||
Valuation adjustments | $ 400,000 | $ 10,000,000 | ||||||||||
Commercial Loans At Lower Of Cost Or Market | ||||||||||||
Commercial Loans [Line Items] | ||||||||||||
Transferred commercial mezzanine loans, unpaid principal balance | 237,000,000 | |||||||||||
Transfers from loans held-for-investment to loans held-for-sale | 233,000,000 | |||||||||||
Number of loans | loan | 1 | |||||||||||
Carrying value | 3,000,000 | $ 3,000,000 | ||||||||||
Principal value | 3,000,000 | 3,000,000 | ||||||||||
Valuation adjustments | $ 4,000,000 | |||||||||||
Loans, at lower of cost or fair value | 3,000,000 | 3,000,000 | ||||||||||
Net purchase discount | 4,000,000 | 4,000,000 | ||||||||||
Principal balance of loans sold during period | 218,000,000 | |||||||||||
Realized gains, net | 1,000,000 | 5,000,000 | ||||||||||
Investment fair value changes, net | $ (300,000) | |||||||||||
Yield maintenance fees received | 16,000,000 | |||||||||||
Commercial Loans At Lower Of Cost Or Market | Fair Value | ||||||||||||
Commercial Loans [Line Items] | ||||||||||||
Loans, at lower of cost or fair value | $ 3,000,000 | $ 3,000,000 | ||||||||||
|
Commercial Loans - For-Investment at Amortized Cost (Details) - Commercial Loans Held-for-Investment, at Amortized Cost - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Commercial Loans [Line Items] | ||
Principal balance | $ 0 | $ 307,047 |
Unamortized discount, net | 0 | (4,096) |
Recorded investment | 0 | 302,951 |
Allowance for loan losses | 0 | (7,102) |
Carrying Value | $ 0 | $ 295,849 |
Commercial Loans - Held for Investment by Risk Category (Details) - Commercial loans, held-for-investment - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Commercial Loans [Line Items] | ||
Commercial loans held for investment | $ 0 | $ 307,047 |
Pass | ||
Commercial Loans [Line Items] | ||
Commercial loans held for investment | 0 | 272,768 |
Watch list | ||
Commercial Loans [Line Items] | ||
Commercial loans held for investment | 0 | 34,279 |
Workout | ||
Commercial Loans [Line Items] | ||
Commercial loans held for investment | $ 0 | $ 0 |
Commercial Loans - Summary of Activity in Allowance for Commercial Loan Losses (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||||
---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Reversal of provision for loan losses | $ 0 | $ 859 | $ 6,532 | $ (289) | $ 7,102 | $ 355 | $ (961) |
Commercial loans | |||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Balance at beginning of period | $ 7,102 | 7,102 | 7,457 | 7,373 | |||
Charge-offs, net | 0 | 0 | 0 | ||||
Reversal of provision for loan losses | (7,102) | (355) | 84 | ||||
Balance at End of Period | $ 0 | $ 0 | $ 7,102 | $ 7,457 |
Commercial Loans - Collectively Evaluated for Impairment (Details) - Commercial loans - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Financing Receivable, Impaired [Line Items] | ||
Principal balance | $ 0 | $ 307,047 |
Recorded investment | 0 | 302,951 |
Related allowance | $ 0 | $ 7,102 |
Real Estate Securities - Fair Values of Real Estate Securities by Collateral Type and Entity (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
||
---|---|---|---|---|
Investments, Debt and Equity Securities [Abstract] | ||||
Trading | $ 445,687 | $ 404,011 | ||
Available-for-sale | 572,752 | 829,245 | ||
Total Real Estate Securities | [1] | $ 1,018,439 | $ 1,233,256 | |
|
Real Estate Securities - Trading Securities by Collateral Type (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Investment Holdings [Line Items] | ||
Trading securities | $ 445,687 | $ 404,011 |
Senior Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 37,067 | 254,351 |
Senior Securities | Prime | ||
Investment Holdings [Line Items] | ||
Trading securities | 32,230 | 248,570 |
Senior Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Trading securities | 4,837 | 5,781 |
Subordinate Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 408,620 | 149,660 |
Subordinate Securities | Prime mezzanine | ||
Investment Holdings [Line Items] | ||
Trading securities | 243,451 | 136,140 |
Subordinate Securities | Prime subordinate | ||
Investment Holdings [Line Items] | ||
Trading securities | $ 165,169 | $ 13,520 |
Real Estate Securities - Additional Information (Details) |
12 Months Ended | |
---|---|---|
Dec. 31, 2016
USD ($)
Investment
|
Dec. 31, 2015
USD ($)
Investment
|
|
Investment Holdings [Line Items] | ||
Trading securities | $ 445,687,000 | $ 404,011,000 |
Trading securities acquired | 307,000,000 | 383,000,000 |
Trading securities sold | 241,000,000 | 18,000,000 |
Change in trading securities | 11,000,000 | (17,000,000) |
Trading securities pledged as collateral | 146,000,000 | |
AFS securities acquired | 35,000,000 | 33,000,000 |
AFS securities sold | 253,000,000 | 366,000,000 |
AFS net realized gains | $ 21,000,000 | $ 34,000,000 |
Number of AFS securities | Investment | 186 | 224 |
Number of securities in unrealized loss position | Investment | 19 | 32 |
Number of securities in a continuous unrealized loss position for twelve consecutive months or longer | Investment | 10 | 15 |
Other than temporary impairments | $ 3,000,000 | $ 400,000 |
Other than temporary impairment losses, income statement | 400,000 | 200,000 |
Accumulated other comprehensive income, other-than-temporary impairments | 3,000,000 | 200,000 |
Residential | ||
Investment Holdings [Line Items] | ||
Gross unrealized losses | 3,169,000 | 5,007,000 |
Residential | ||
Investment Holdings [Line Items] | ||
Marketable securities, less than five years | 1,000,000 | |
Marketable securities, due from five to ten years | 1,000,000 | |
Interest Only Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 37,000,000 | 37,000,000 |
Residential Senior and Subordinate Securities | Trading securities | ||
Investment Holdings [Line Items] | ||
Unpaid principal balance | 0 | 217,000,000 |
Residential Subordinate Securities | Trading securities | ||
Investment Holdings [Line Items] | ||
Unpaid principal balance | 434,000,000 | 168,000,000 |
Subordinate Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 408,620,000 | 149,660,000 |
Subordinate Securities | Residential | ||
Investment Holdings [Line Items] | ||
Gross unrealized losses | 1,240,000 | 1,430,000 |
Subordinate Securities | Credit Risk Transfer (CRT) Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 187,000,000 | 48,000,000 |
Subordinate Securities | Sequoia Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 15,000,000 | 10,000,000 |
Subordinate Securities | Other Third Party Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 115,000,000 | 83,000,000 |
Subordinate Securities | Commercial Mortgage Backed Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 92,000,000 | 8,000,000 |
AFS Securities | Residential | ||
Investment Holdings [Line Items] | ||
Securities pledged as collateral | $ 216,000,000 | |
Re-REMIC | ||
Investment Holdings [Line Items] | ||
Number of AFS securities | Investment | 4 | |
Trading securities, fair value | $ 77,000,000 | |
Re-REMIC | Residential | ||
Investment Holdings [Line Items] | ||
Gross unrealized losses | $ 0 | $ 0 |
Real Estate Securities - Available for Sale Securities by Collateral Type (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Investment Holdings [Line Items] | ||
Available-for-sale securities | $ 572,752 | $ 829,245 |
Senior Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 136,546 | 279,251 |
Senior Securities | Prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 128,843 | 210,993 |
Senior Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 7,703 | 68,258 |
Re-REMIC | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 85,479 | 165,064 |
Subordinate Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 350,727 | 384,930 |
Subordinate Securities | Prime mezzanine | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 163,715 | 224,624 |
Subordinate Securities | Prime subordinate | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | $ 187,012 | $ 160,306 |
Real Estate Securities - Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | $ 572,752 | $ 829,245 |
Senior Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 136,546 | 279,251 |
Senior Securities | Prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 128,843 | 210,993 |
Senior Securities | Non-prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 7,703 | 68,258 |
Re-REMIC | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 85,479 | 165,064 |
Subordinate Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 350,727 | 384,930 |
Residential | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 700,829 | 973,227 |
Credit reserve | (47,473) | (48,869) |
Unamortized discount, net | (198,112) | (237,107) |
Amortized cost | 455,244 | 687,251 |
Gross unrealized gains | 120,677 | 147,001 |
Gross unrealized losses | (3,169) | (5,007) |
Carrying Value | 572,752 | 829,245 |
Residential | Senior Securities | Prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 139,736 | 217,605 |
Credit reserve | (4,174) | (1,305) |
Unamortized discount, net | (40,379) | (22,079) |
Amortized cost | 95,183 | 194,221 |
Gross unrealized gains | 35,589 | 20,263 |
Gross unrealized losses | (1,929) | (3,491) |
Carrying Value | 128,843 | 210,993 |
Residential | Senior Securities | Non-prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 9,126 | 75,591 |
Credit reserve | (640) | (5,101) |
Unamortized discount, net | (1,498) | (8,395) |
Amortized cost | 6,988 | 62,095 |
Gross unrealized gains | 715 | 6,249 |
Gross unrealized losses | 0 | (86) |
Carrying Value | 7,703 | 68,258 |
Residential | Re-REMIC | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 95,608 | 189,782 |
Credit reserve | (6,857) | (10,332) |
Unamortized discount, net | (19,613) | (71,670) |
Amortized cost | 69,138 | 107,780 |
Gross unrealized gains | 16,341 | 57,284 |
Gross unrealized losses | 0 | 0 |
Carrying Value | 85,479 | 165,064 |
Residential | Subordinate Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 456,359 | 490,249 |
Credit reserve | (35,802) | (32,131) |
Unamortized discount, net | (136,622) | (134,963) |
Amortized cost | 283,935 | 323,155 |
Gross unrealized gains | 68,032 | 63,205 |
Gross unrealized losses | (1,240) | (1,430) |
Carrying Value | $ 350,727 | $ 384,930 |
Real Estate Securities - Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities (Details) - Residential - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Credit Reserve | ||
Beginning balance | $ 48,869 | $ 70,067 |
Amortization of net discount | 0 | 0 |
Realized credit losses | (5,830) | (8,535) |
Acquisitions | 9,311 | 2,557 |
Sales, calls, other | (4,968) | (7,296) |
Impairments | 368 | 0 |
Transfers to (release of) credit reserves, net | (277) | (7,924) |
Ending Balance | 47,473 | 48,869 |
Available For Sale Securities Credit Reserve [Roll Forward] | ||
Beginning balance | 237,107 | 296,342 |
Amortization of net discount | (26,253) | (36,850) |
Realized credit losses | 0 | 0 |
Acquisitions | 11,461 | 15,791 |
Sales, calls, other | (24,480) | (46,346) |
Impairments | 0 | 246 |
Transfers to (release of) credit reserves, net | 277 | 7,924 |
Ending Balance | $ 198,112 | $ 237,107 |
Real Estate Securities - Components of Carrying Value of Residential Available for Sale Securities in Unrealized Loss Position (Details) - Residential - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Consecutive Months Amortized Cost | $ 15,772 | $ 87,718 |
Less Than 12 Consecutive Months Gross Unrealized Losses | (330) | (1,972) |
Less Than 12 Consecutive Months Fair Value | 15,442 | 85,746 |
12 Consecutive Months or Longer Amortized Cost | 60,035 | 77,539 |
12 Consecutive Months or Longer Gross Unrealized Losses | (2,839) | (3,035) |
12 Consecutive Months or Longer Fair Value | $ 57,196 | $ 74,504 |
Real Estate Securities - Summary of Significant Valuation Assumptions for Available for Sale Securities (Details) - Prime |
12 Months Ended |
---|---|
Dec. 31, 2016 | |
Minimum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 8.00% |
Projected default rate | 0.00% |
Maximum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 15.00% |
Projected default rate | 7.00% |
Real Estate Securities - Activity of Credit Component of Other-than-Temporary Impairments (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||
Balance at beginning of period | $ 28,277 | $ 33,849 | $ 37,149 |
Initial credit impairments | 346 | 246 | 261 |
Subsequent credit impairments | 8 | 0 | 70 |
Securities sold, or expected to sell | (261) | (4,567) | (922) |
Securities with no outstanding principal at period end | (109) | (1,251) | (2,709) |
Balance at End of Period | $ 28,261 | $ 28,277 | $ 33,849 |
Real Estate Securities - Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Schedule of Available-for-sale Securities [Line Items] | |||
Gross realized gains | $ 23,598 | $ 34,922 | $ 15,030 |
Gross realized losses | (2,293) | (608) | (2,713) |
Total Realized Gains on Sales and Calls of AFS Securities, net | 22,515 | 36,369 | 13,917 |
Call Option | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Gross realized gains | 1,210 | 2,167 | 1,600 |
Gross realized losses | $ 0 | $ (112) | $ 0 |
Mortgage Servicing Rights - Schedule of Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
||
---|---|---|---|---|---|---|
Servicing Assets at Fair Value [Line Items] | ||||||
MSR Fair Value | [1] | $ 118,526 | $ 191,976 | |||
MSRs | ||||||
Servicing Assets at Fair Value [Line Items] | ||||||
MSR Fair Value | 118,526 | 191,976 | $ 139,293 | $ 64,824 | ||
Associated Principal | 10,456,889 | 18,266,472 | ||||
MSRs | Conforming Loans | ||||||
Servicing Assets at Fair Value [Line Items] | ||||||
MSR Fair Value | 58,523 | 133,838 | ||||
Associated Principal | 4,989,720 | 12,560,533 | ||||
MSRs | Jumbo Loans | ||||||
Servicing Assets at Fair Value [Line Items] | ||||||
MSR Fair Value | 60,003 | 58,138 | ||||
Associated Principal | $ 5,467,169 | $ 5,705,939 | ||||
|
Mortgage Servicing Rights - Activity for Residential First-Lien Mortgage Servicing Rights (Details) - USD ($) $ in Thousands |
12 Months Ended | |||||
---|---|---|---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
||||
Servicing Asset at Fair Value, Amount [Roll Forward] | ||||||
Balance at beginning of period | [1] | $ 191,976 | ||||
Additions | 10,060 | $ 64,725 | $ 48,000 | |||
Balance at End of Period | [1] | 118,526 | 191,976 | |||
MSRs | ||||||
Servicing Asset at Fair Value, Amount [Roll Forward] | ||||||
Balance at beginning of period | 191,976 | 139,293 | 64,824 | |||
Additions | 25,362 | 95,281 | 95,550 | |||
Sales | (62,440) | (18,206) | 0 | |||
Changes in fair value due to: Changes in assumptions | (14,512) | (5,453) | (12,467) | |||
Changes in fair value due to: Other changes | (21,860) | (18,939) | (8,614) | |||
Balance at End of Period | $ 118,526 | $ 191,976 | $ 139,293 | |||
|
Mortgage Servicing Rights - Summary of Retention and Purchase of MSRs (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | $ 10,060 | $ 64,725 | $ 48,000 |
MSRs | |||
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | 25,362 | 95,281 | $ 95,550 |
Associated Principal | 2,926,572 | 9,119,764 | |
MSRs | Jumbo Loans | |||
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | 6,628 | 8,554 | |
Associated Principal | 966,705 | 915,882 | |
MSRs | Jumbo Loans | Securitizations | |||
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | 6,451 | 8,202 | |
Associated Principal | 939,861 | 882,860 | |
MSRs | Jumbo Loans | Loan Sales | |||
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | 177 | 352 | |
Associated Principal | 26,844 | 33,022 | |
MSRs | Conforming Loans | |||
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | 18,734 | 86,727 | |
Associated Principal | 1,959,867 | 8,203,882 | |
MSRs | Conforming Loans | Loan Sales | |||
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | 3,380 | 55,954 | |
Associated Principal | 316,290 | 5,251,537 | |
MSRs | Conforming Loans | Loan Purchases | |||
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | 15,354 | 30,773 | |
Associated Principal | $ 1,643,577 | $ 2,952,345 |
Mortgage Servicing Rights - Income from Mortgage Servicing Rights, Net (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Transfers and Servicing [Abstract] | |||
Income | $ 41,152 | $ 38,964 | $ 19,362 |
Cost of sub-servicer | (6,281) | (5,079) | (1,834) |
Net servicing income | 34,871 | 33,885 | 17,528 |
Market valuation changes of MSRs | (36,372) | (24,392) | (21,081) |
Market valuation changes of associated derivatives | 15,584 | (12,708) | 0 |
MSR reversal of (provision for) repurchases | 270 | (707) | (708) |
MSR Income (Loss), Net | $ 14,353 | $ (3,922) | $ (4,261) |
Derivative Financial Instruments - Aggregate Fair Value and Notional Amount of Derivative Financial Instruments (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Derivative [Line Items] | ||
Fair Value | $ (29,734) | $ (46,401) |
Notional Amount | 4,980,343 | 6,483,976 |
Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (66,329) | (62,794) |
Notional Amount | 2,423,362 | 3,083,315 |
Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 36,595 | 16,393 |
Notional Amount | 2,556,981 | 3,400,661 |
Interest rate agreements | Cash Flow Hedging | ||
Derivative [Line Items] | ||
Notional Amount | 140,000 | |
Interest rate agreements | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (12,097) | (10,134) |
Notional Amount | 1,101,500 | 1,039,500 |
Interest rate agreements | Derivative Liabilities | Cash Flow Hedging | ||
Derivative [Line Items] | ||
Fair Value | (44,822) | (48,232) |
Notional Amount | 139,500 | 139,500 |
Interest rate agreements | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 19,859 | 2,590 |
Notional Amount | 1,009,000 | 658,000 |
TBAs | ||
Derivative [Line Items] | ||
Notional Amount | 1,360,000 | 2,480,000 |
TBAs | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (4,681) | (2,519) |
Notional Amount | 510,000 | 1,450,500 |
TBAs | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 8,300 | 2,734 |
Notional Amount | 850,000 | 1,028,500 |
Futures | ||
Derivative [Line Items] | ||
Notional Amount | 88,000 | 78,000 |
Futures | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (928) | (445) |
Notional Amount | 87,500 | 78,000 |
Swaptions | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 5,121 | 5,191 |
Notional Amount | 345,000 | 925,000 |
Credit default index swaps | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 0 | 1,207 |
Notional Amount | 0 | 25,000 |
Loan purchase commitments | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (3,801) | (1,464) |
Notional Amount | 584,862 | 375,815 |
Loan purchase commitments | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 3,315 | 4,671 |
Notional Amount | $ 352,981 | $ 764,161 |
Derivative Financial Instruments - Additional Information (Details) $ in Thousands |
12 Months Ended | ||||
---|---|---|---|---|---|
Dec. 31, 2016
USD ($)
counterparty
|
Dec. 31, 2015
USD ($)
|
Dec. 31, 2014
USD ($)
|
|||
Derivative [Line Items] | |||||
Notional Amount | $ 4,980,343 | $ 6,483,976 | |||
Accumulated other comprehensive income | [1] | $ 71,853 | 91,993 | ||
Number of counterparties | counterparty | 3 | ||||
Maximum | |||||
Derivative [Line Items] | |||||
Realized net losses reclassified from other comprehensive income (less than) | $ 1,000 | 1,000 | $ 1,000 | ||
Net unrealized losses on interest rate agreements accounted for as cash flow hedges | |||||
Derivative [Line Items] | |||||
Accumulated other comprehensive income | (44,000) | (47,000) | |||
Residential loan purchase and forward sale commitments | Mortgage Banking And Investment Activities | |||||
Derivative [Line Items] | |||||
Changes in fair value of assets | 26,000 | 50,000 | 14,000 | ||
Interest Rate Contract | |||||
Derivative [Line Items] | |||||
Notional Amount | 2,460,000 | 2,620,000 | |||
Interest Rate Contract | Cash Flow Hedging | |||||
Derivative [Line Items] | |||||
Realized net losses reclassified from other comprehensive income (less than) | 72 | 95 | 164 | ||
TBAs | |||||
Derivative [Line Items] | |||||
Notional Amount | 1,360,000 | 2,480,000 | |||
Futures | |||||
Derivative [Line Items] | |||||
Notional Amount | 88,000 | 78,000 | |||
Residential and Commercial Loans | |||||
Derivative [Line Items] | |||||
Valuation adjustments on derivatives | 10,000 | (65,000) | (39,000) | ||
Interest rate agreements | Maximum | |||||
Derivative [Line Items] | |||||
Accumulated other comprehensive loss that will be amortized into interest expense | (100) | ||||
Interest rate agreements | Cash Flow Hedging | |||||
Derivative [Line Items] | |||||
Notional Amount | 140,000 | ||||
Valuation adjustments on derivatives | $ 3,000 | $ (1,000) | $ (30,000) | ||
|
Derivative Financial Instruments - Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Derivative [Line Items] | |||||||||||
Total interest expense | $ (20,537) | $ (21,597) | $ (22,444) | $ (23,950) | $ (25,039) | $ (23,875) | $ (23,008) | $ (23,961) | $ (88,528) | $ (95,883) | $ (87,463) |
Cash Flow Hedging | Interest Rate Contract | |||||||||||
Derivative [Line Items] | |||||||||||
Net interest expense on cash flows hedges | (5,317) | (5,883) | (5,951) | ||||||||
Realized net losses reclassified from other comprehensive income | (72) | (95) | (164) | ||||||||
Total interest expense | $ (5,389) | $ (5,978) | $ (6,115) |
Other Assets and Liabilities - Summary of Other Assets (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
||
---|---|---|---|---|
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||||
Margin receivable | $ 68,038 | $ 83,191 | ||
FHLBC stock | 43,393 | 34,437 | ||
Pledged collateral | 42,875 | 53,600 | ||
REO | 5,533 | 4,896 | ||
Guarantee asset | 4,092 | 5,697 | ||
Fixed assets and leasehold improvements | 2,750 | 4,117 | ||
Prepaid expenses | 1,639 | 3,640 | ||
Investment receivable | 1,068 | 3,870 | ||
Other | 9,857 | 4,438 | ||
Total Other Assets | [1] | 179,245 | $ 197,886 | |
Fixed assets basis | 5,000 | |||
Fixed assets, accumulated depreciation | $ 3,000 | |||
|
Other Assets and Liabilities - Accrued Expenses and Other Liabilities (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||
Guarantee obligations | $ 21,668 | $ 22,704 |
Accrued compensation | 18,830 | 17,527 |
Margin payable | 12,783 | 6,415 |
Residential loan and MSR repurchase reserve | 5,432 | 6,403 |
Accrued operating expenses | 4,493 | 1,845 |
Restructuring liabilities | 2,297 | 0 |
Legal reserve | 2,000 | 2,000 |
Current accounts payable | 1,151 | 4,764 |
Deferred tax liability | 898 | 0 |
Other | 2,876 | 8,239 |
Total Other Liabilities | $ 72,428 | $ 69,897 |
Other Assets and Liabilities - Additional Information (Details) $ in Thousands |
3 Months Ended | 12 Months Ended | ||
---|---|---|---|---|
Mar. 31, 2016
USD ($)
|
Dec. 31, 2016
USD ($)
Location
|
Dec. 31, 2015
USD ($)
Location
|
Dec. 31, 2014
USD ($)
|
|
Other Assets and Other Liabilities [Line Items] | ||||
Real estate owned (REO) | $ 5,533 | $ 4,896 | ||
Amount related to transfers into REO | 12,000 | |||
REO liquidations | 13,000 | |||
Unrealized gain on REO from market value adjustments | 2,000 | |||
Costs incurred and expensed | $ 10,401 | 10,401 | $ 0 | $ 0 |
Other costs | (3,486) | |||
Termination Benefits | ||||
Other Assets and Other Liabilities [Line Items] | ||||
Costs incurred and expensed | 9,000 | 8,746 | ||
Other costs | (3,000) | (3,486) | ||
Contract Termination Costs | ||||
Other Assets and Other Liabilities [Line Items] | ||||
Costs incurred and expensed | $ 2,000 | 1,655 | ||
Other costs | $ 0 | |||
Sequoia Entities | ||||
Other Assets and Other Liabilities [Line Items] | ||||
Number of REO properties recorded on balance sheet | Location | 23 | 23 |
Other Assets and Liabilities - Restructuring Accrual (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | ||
---|---|---|---|---|
Mar. 31, 2016 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Restructuring Reserve [Roll Forward] | ||||
Beginning balance | $ 0 | $ 0 | ||
Costs incurred and expensed | 10,401 | 10,401 | $ 0 | $ 0 |
Costs paid/settled | (4,618) | |||
Other costs | (3,486) | |||
Ending Balance | 2,297 | 0 | ||
Termination Benefits | ||||
Restructuring Reserve [Roll Forward] | ||||
Beginning balance | 0 | 0 | ||
Costs incurred and expensed | 9,000 | 8,746 | ||
Costs paid/settled | (3,019) | |||
Other costs | (3,000) | (3,486) | ||
Ending Balance | 2,241 | 0 | ||
Contract Termination Costs | ||||
Restructuring Reserve [Roll Forward] | ||||
Beginning balance | 0 | 0 | ||
Costs incurred and expensed | $ 2,000 | 1,655 | ||
Costs paid/settled | (1,599) | |||
Other costs | 0 | |||
Ending Balance | $ 56 | $ 0 |
Short-Term Debt - Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt (Details) |
12 Months Ended | |||
---|---|---|---|---|
Dec. 31, 2016
USD ($)
Facility
|
Dec. 31, 2015
USD ($)
Facility
|
|||
Short-term Debt [Line Items] | ||||
Number of Facilities | Facility | 11 | 16 | ||
Outstanding Balance | [1] | $ 791,539,000 | $ 1,855,003,000 | |
Residential loan warehouse | ||||
Short-term Debt [Line Items] | ||||
Number of Facilities | Facility | 4 | 4 | ||
Outstanding Balance | $ 485,544,000 | $ 950,022,000 | ||
Limit | $ 1,325,000,000 | $ 1,400,000,000 | ||
Weighted Average Interest Rate | 2.40% | 1.90% | ||
Weighted Average Days Until Maturity | 206 days | 182 days | ||
FHLBC | ||||
Short-term Debt [Line Items] | ||||
Number of Facilities | Facility | 1 | |||
Outstanding Balance | $ 137,622,000 | |||
Limit | $ 0 | |||
Weighted Average Interest Rate | 0.21% | |||
Weighted Average Days Until Maturity | 204 days | |||
Commercial loan warehouse | ||||
Short-term Debt [Line Items] | ||||
Number of Facilities | Facility | 2 | |||
Outstanding Balance | $ 73,718,000 | |||
Limit | $ 300,000,000 | |||
Weighted Average Interest Rate | 4.13% | |||
Weighted Average Days Until Maturity | 265 days | |||
Real estate securities repo | ||||
Short-term Debt [Line Items] | ||||
Number of Facilities | Facility | 7 | 9 | ||
Outstanding Balance | $ 305,995,000 | $ 693,641,000 | ||
Limit | $ 0 | $ 0 | ||
Weighted Average Interest Rate | 1.91% | 1.47% | ||
Weighted Average Days Until Maturity | 24 days | 24 days | ||
|
Short-Term Debt - Additional Information (Details) - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Short-term Debt [Line Items] | ||
Average balance of short-term debt | $ 1,090,000,000 | $ 1,670,000,000 |
Accrued interest payable on short-term debt | 3,000,000 | 2,000,000 |
Committed line of credit | 10,000,000 | |
Collateral at fair value | 8,000,000 | |
Committed line of credit with financial institutions, outstanding | 0 | 0 |
Residential loans | ||
Short-term Debt [Line Items] | ||
Loan pledged as collateral | 1,070,000,000 | |
Commercial loans | ||
Short-term Debt [Line Items] | ||
Loan pledged as collateral | 0 | 152,000,000 |
Residential | ||
Short-term Debt [Line Items] | ||
Securities pledged as collateral | 363,000,000 | $ 827,000,000 |
Residential Loans | ||
Short-term Debt [Line Items] | ||
Loan pledged as collateral | $ 534,000,000 |
Short-Term Debt - Remaining Maturities of Short Term Debt (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
||
---|---|---|---|---|
Short-term Debt [Line Items] | ||||
Short-term debt | [1] | $ 791,539 | $ 1,855,003 | |
Within 30 days | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | 345,097 | |||
31 to 90 days | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | 137,088 | |||
Over 90 days | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | 309,354 | |||
Held-for sale residential loans | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | 485,544 | |||
Held-for sale residential loans | Within 30 days | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | 109,152 | |||
Held-for sale residential loans | 31 to 90 days | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | 67,038 | |||
Held-for sale residential loans | Over 90 days | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | 309,354 | |||
Real estate securities | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | 305,995 | |||
Real estate securities | Within 30 days | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | 235,945 | |||
Real estate securities | 31 to 90 days | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | 70,050 | |||
Real estate securities | Over 90 days | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | $ 0 | |||
|
Asset-Backed Securities Issued - Components of Asset-Backed Securities Issued by Consolidated Securitization Entities Sponsored, Along With Other Selected Information (Details) $ in Thousands |
Dec. 31, 2016
USD ($)
series
|
Dec. 31, 2015
USD ($)
series
|
||||
---|---|---|---|---|---|---|
Debt Instrument [Line Items] | ||||||
Total | [1],[2] | $ 2,620,683 | $ 2,027,737 | |||
Asset-backed securities issued, net | ||||||
Debt Instrument [Line Items] | ||||||
Long-term debt, gross | 773,462 | 1,049,957 | ||||
Market valuation adjustments | (110,829) | (116,637) | ||||
Deferred debt issuance costs | 0 | (542) | ||||
Total | 773,462 | 1,049,415 | ||||
Asset-backed securities issued, net | Certificates with principal balance | ||||||
Debt Instrument [Line Items] | ||||||
Long-term debt, gross | 880,517 | 1,161,922 | ||||
Asset-backed securities issued, net | Interest-only certificates | ||||||
Debt Instrument [Line Items] | ||||||
Long-term debt, gross | 3,774 | 4,672 | ||||
Asset-backed securities issued, net | Sequoia Entities | ||||||
Debt Instrument [Line Items] | ||||||
Long-term debt, gross | 773,462 | 996,820 | ||||
Market valuation adjustments | (110,829) | (116,637) | ||||
Deferred debt issuance costs | 0 | 0 | ||||
Total | $ 773,462 | $ 996,820 | ||||
Number of series | series | 20 | 21 | ||||
Asset-backed securities issued, net | Sequoia Entities | Minimum | ||||||
Debt Instrument [Line Items] | ||||||
Weighted average interest rates, by series | 0.14% | 0.15% | ||||
Asset-backed securities issued, net | Sequoia Entities | Maximum | ||||||
Debt Instrument [Line Items] | ||||||
Weighted average interest rates, by series | 2.21% | 1.95% | ||||
Asset-backed securities issued, net | Sequoia Entities | Certificates with principal balance | ||||||
Debt Instrument [Line Items] | ||||||
Long-term debt, gross | $ 880,517 | $ 1,108,785 | ||||
Asset-backed securities issued, net | Sequoia Entities | Interest-only certificates | ||||||
Debt Instrument [Line Items] | ||||||
Long-term debt, gross | 3,774 | 4,672 | ||||
Asset-backed securities issued, net | Commercial Securitization | ||||||
Debt Instrument [Line Items] | ||||||
Long-term debt, gross | 0 | 53,137 | ||||
Market valuation adjustments | 0 | 0 | ||||
Deferred debt issuance costs | 0 | (542) | ||||
Total | $ 0 | $ 52,595 | ||||
Weighted average interest rates, by series | 0.00% | 5.62% | ||||
Number of series | series | 0 | 1 | ||||
Asset-backed securities issued, net | Commercial Securitization | Certificates with principal balance | ||||||
Debt Instrument [Line Items] | ||||||
Long-term debt, gross | $ 0 | $ 53,137 | ||||
Asset-backed securities issued, net | Commercial Securitization | Interest-only certificates | ||||||
Debt Instrument [Line Items] | ||||||
Long-term debt, gross | $ 0 | $ 0 | ||||
|
Asset-Backed Securities Issued - Additional Information (Details) - Asset-backed securities issued, net - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Debt Instrument [Line Items] | |||
Amortization of deferred ABS issuance costs | $ 0.4 | $ 1.0 | $ 2.0 |
Contractual maturities of over five years | |||
Debt Instrument [Line Items] | |||
Contractual maturities of ABS (in years) | 5 years |
Asset-Backed Securities Issued - Summary of Accrued Interest Payable on Asset-Backed Securities Issued (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
||
---|---|---|---|---|
Debt Instrument [Line Items] | ||||
Accrued interest payable | [1] | $ 9,608 | $ 8,936 | |
Asset-backed securities issued, net | Variable Interest Entity, Primary Beneficiary | ||||
Debt Instrument [Line Items] | ||||
Accrued interest payable | 518 | 804 | ||
Asset-backed securities issued, net | Variable Interest Entity, Primary Beneficiary | Sequoia Entities | ||||
Debt Instrument [Line Items] | ||||
Accrued interest payable | 518 | 555 | ||
Asset-backed securities issued, net | Variable Interest Entity, Primary Beneficiary | Commercial Securitization | ||||
Debt Instrument [Line Items] | ||||
Accrued interest payable | $ 0 | $ 249 | ||
|
Asset-Backed Securities Issued - Summary of Carrying Value Components of Collateral for Asset-Backed Securities Issued and Outstanding (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | $ 798,317 | $ 1,195,574 |
Residential loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 791,636 | 1,021,870 |
Commercial loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 166,016 |
Restricted cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 148 | 365 |
Accrued interest receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,000 | 2,428 |
REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 5,533 | 4,895 |
Sequoia Entities | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 798,317 | 1,028,124 |
Sequoia Entities | Residential loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 791,636 | 1,021,870 |
Sequoia Entities | Commercial loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 0 |
Sequoia Entities | Restricted cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 148 | 228 |
Sequoia Entities | Accrued interest receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,000 | 1,131 |
Sequoia Entities | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 5,533 | 4,895 |
Commercial Securitization | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 167,450 |
Commercial Securitization | Residential loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 0 |
Commercial Securitization | Commercial loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 166,016 |
Commercial Securitization | Restricted cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 137 |
Commercial Securitization | Accrued interest receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 1,297 |
Commercial Securitization | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | $ 0 | $ 0 |
Long-Term Debt - Additional Information (Details) - USD ($) |
1 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Nov. 30, 2014 |
Mar. 31, 2013 |
Dec. 31, 2016 |
Dec. 31, 2015 |
|||
Debt Instrument [Line Items] | ||||||
FHLB transition period | 5 years | |||||
Committed line of credit with financial institutions, outstanding | $ 0 | $ 0 | ||||
Federal home loan bank stock | 43,393,000 | 34,437,000 | ||||
Accrued interest payable | 3,000,000 | 2,000,000 | ||||
Notional Amount | 4,980,343,000 | 6,483,976,000 | ||||
Accrued interest payable (less than) | [1] | 9,608,000 | 8,936,000 | |||
Convertible notes | Exchangeable senior notes due 2019 | ||||||
Debt Instrument [Line Items] | ||||||
Convertible notes | $ 205,000,000 | $ 201,000,000 | ||||
Debt instrument interest rate (as a percent) | 5.625% | |||||
Debt instrument, maturity year | 2019 | |||||
Debt instrument, redemption date | Nov. 15, 2019 | |||||
Net proceeds from issuance of convertible debt | $ 198,000,000 | |||||
Interest expense yield (as a percent) | 6.60% | |||||
Convertible debt, conversion ratio | 0.0461798 | |||||
Convertible senior notes conversion per share (in dollars per share) | $ 21.65 | |||||
Repurchased debt instrument, face amount | $ 4,235,000 | |||||
Accrued interest payable | 2,000,000 | |||||
Unamortized deferred issuance costs | (4,000,000) | |||||
Convertible notes | Exchangeable senior notes due 2019 | Gain (Loss) on Investments | ||||||
Debt Instrument [Line Items] | ||||||
Gain (loss) on extinguishment of debt | $ 300,000 | |||||
Convertible notes | Convertible senior notes due 2018 | ||||||
Debt Instrument [Line Items] | ||||||
Convertible notes | $ 288,000,000 | |||||
Debt instrument interest rate (as a percent) | 4.625% | |||||
Net proceeds from issuance of convertible debt | $ 279,000,000 | |||||
Interest expense yield (as a percent) | 5.40% | |||||
Convertible debt, conversion ratio | 0.041132 | |||||
Convertible senior notes conversion per share (in dollars per share) | $ 24.31 | |||||
Accrued interest payable | $ 4,000,000 | |||||
Unamortized deferred issuance costs | (2,000,000) | |||||
Trust Preferred Securities | ||||||
Debt Instrument [Line Items] | ||||||
Debt instrument face amount | $ 99,500,000 | |||||
Interest expense yield on trust preferred securities and subordinated notes | 6.90% | |||||
Subordinated Notes | ||||||
Debt Instrument [Line Items] | ||||||
Debt instrument face amount | $ 40,000,000 | |||||
Trust Preferred Securities and Subordinated Notes | ||||||
Debt Instrument [Line Items] | ||||||
Accrued interest payable (less than) | 1,000,000 | 1,000,000 | ||||
Trust Preferred Securities and Subordinated Notes | Interest rate agreements | ||||||
Debt Instrument [Line Items] | ||||||
Notional Amount | $ 140,000,000 | |||||
Trust Preferred Securities and Subordinated Notes | London Interbank Offered Rate (LIBOR) | ||||||
Debt Instrument [Line Items] | ||||||
Basis spread on variable rate (as a percent) | 2.25% | |||||
FHLB Chicago | Held-for sale residential loans | ||||||
Debt Instrument [Line Items] | ||||||
Residential mortgage loans securing FHLB advances | $ 2,250,000,000 | |||||
Subsidiaries | FHLB Chicago | ||||||
Debt Instrument [Line Items] | ||||||
Maximum borrowing capacity | 2,000,000,000 | |||||
Additional borrowings from FHLB | 519,000,000 | |||||
Committed line of credit with financial institutions, outstanding | 2,000,000,000 | |||||
Outstanding FHLB advances | $ 2,000,000,000 | $ 1,480,000,000 | ||||
Weighted average interest rate (as a percent) | 0.64% | 0.46% | ||||
Weighted average maturity (in years) | 9 years | 9 years | ||||
FHLB advances, long-term | $ 1,340,000,000 | |||||
|
Long-Term Debt - Debt maturities (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
||||
---|---|---|---|---|---|---|
Debt Instrument [Line Items] | ||||||
Total | [1],[2] | $ 2,620,683 | $ 2,027,737 | |||
FHLB Chicago | Subsidiaries | ||||||
Debt Instrument [Line Items] | ||||||
2024 | 470,171 | |||||
2025 | 887,639 | |||||
2026 | 642,189 | |||||
Total | $ 1,999,999 | |||||
|
Commitments and Contingencies - Future Lease Commitments (Details) $ in Thousands |
Dec. 31, 2016
USD ($)
|
---|---|
Leases [Abstract] | |
2017 | $ 2,301 |
2018 | 1,268 |
2019 | 642 |
2020 | 581 |
2021 | 48 |
2022 and thereafter | 0 |
Total | $ 4,840 |
Commitments and Contingencies - Additional Information (Details) |
12 Months Ended | |||
---|---|---|---|---|
Jul. 15, 2010
Plaintiff
|
Dec. 31, 2016
USD ($)
loan
lease
repurchase_request
|
Dec. 31, 2015
USD ($)
loan
repurchase_request
|
Dec. 31, 2014
USD ($)
loan
|
|
Loss Contingencies [Line Items] | ||||
Number of non-cancelable leases | lease | 4 | |||
Lease expiration year | 2021 | |||
Future lease commitments with expiration date | $ 4,840,000 | |||
Operating lease expense | 3,000,000 | |||
Unamortized leasehold improvements (less than) | 1,000,000 | |||
Leasehold amortization expense (less than) | 0 | $ 100,000 | $ 100,000 | |
Residential loan and MSR repurchase reserve | $ 5,432,000 | $ 6,403,000 | ||
Residential loans repurchase requests | repurchase_request | 59 | 79 | ||
Residential loans, number of loans repurchased | loan | 1 | 0 | 1 | |
Residential loans repurchased during period | $ 100,000 | $ 0 | $ 100,000 | |
Residential loans repurchase provision | 1,000,000 | 3,000,000 | $ (2,000,000) | |
Aggregate amount of loss contingency reserves | 2,000,000 | 2,000,000 | ||
Guarantee obligations | 21,668,000 | 22,704,000 | ||
Guarantee Obligation, Credit Reserve | 10,000,000 | |||
Special Purpose Entities, assets | 49,000,000 | 63,000,000 | ||
Special Purpose Entities, liabilities | 22,000,000 | 25,000,000 | ||
Schwab | ||||
Loss Contingencies [Line Items] | ||||
Number of other named defendants along with SRF | Plaintiff | 26 | |||
Residential loans, at lower of cost or fair value | ||||
Loss Contingencies [Line Items] | ||||
Principal amount outstanding on loans securitized | 2,000,000 | 2,000,000 | ||
Loans held as assets amount in foreclosure | $ 100,000 | |||
Other Income | ||||
Loss Contingencies [Line Items] | ||||
Fee income from risk sharing agreement | 5,000,000 | |||
Mortgage Banking And Investment Activities | ||||
Loss Contingencies [Line Items] | ||||
Market valuation changes in fair value of guarantee asset | (1,000,000) | |||
Guarantee Obligations | ||||
Loss Contingencies [Line Items] | ||||
Original principal balance of loans sold subject to risk sharing agreement | 3,190,000,000 | |||
Potential future payments on risk sharing agreements | 44,000,000 | |||
Loss contingency accrual (less than) | 100,000 | |||
Principal amount outstanding on loans securitized | $ 2,420,000,000 | |||
FICO credit score | 757 | |||
Loan to value ratio | 77.00% | |||
Guarantee Obligations | Financing Receivables, Equal To Greater Than 30 Days Past Due [Member] | ||||
Loss Contingencies [Line Items] | ||||
Loans past due | $ 14,000,000 | |||
Guarantee Obligations | Financing Receivables, Equal to Greater than 90 Days Past Due | ||||
Loss Contingencies [Line Items] | ||||
Loans past due | $ 2,000,000 | |||
Residential | Sequoia Entities | FHLB Seattle | ||||
Loss Contingencies [Line Items] | ||||
Statutory interest rate per annum | 8.00% | |||
Original principal amount of securities | $ 133,000,000 | |||
Debt instrument principal payment amount | 122,000,000 | |||
Debt instrument interest payment amount | 11,000,000 | |||
Residential | Sequoia Entities | Schwab | ||||
Loss Contingencies [Line Items] | ||||
Original principal amount of securities | 15,000,000 | |||
Principal balance of securities | 14,000,000 | |||
Debt instrument interest amount | $ 1,000,000 |
Equity - Changes to Accumulated Other Comprehensive Income (Loss) by Component (Details) - USD ($) $ in Thousands |
12 Months Ended | ||||||
---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||||||
Balance at beginning of period | $ 1,146,265 | [1] | $ 1,256,141 | $ 1,245,783 | |||
Total other comprehensive (loss) income | (20,140) | (48,695) | (8,078) | ||||
Balance at End of Period | 1,149,428 | [1] | 1,146,265 | [1] | 1,256,141 | ||
Other comprehensive income (loss). before reclassification adjustments, tax benefit (provision) | 1,000 | (400) | (2,000) | ||||
Net Unrealized Gains on Available-for-Sale Securities | |||||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||||||
Balance at beginning of period | 139,356 | 186,737 | |||||
Other comprehensive income (loss) before reclassifications | (2,316) | (17,955) | |||||
Amounts reclassified from other accumulated comprehensive income | (21,167) | (29,426) | |||||
Total other comprehensive (loss) income | (23,483) | (47,381) | |||||
Balance at End of Period | 115,873 | 139,356 | 186,737 | ||||
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | |||||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||||||
Balance at beginning of period | (47,363) | (46,049) | |||||
Other comprehensive income (loss) before reclassifications | 3,271 | (1,409) | |||||
Amounts reclassified from other accumulated comprehensive income | 72 | 95 | |||||
Total other comprehensive (loss) income | 3,343 | (1,314) | |||||
Balance at End of Period | $ (44,020) | $ (47,363) | $ (46,049) | ||||
|
Equity - Reclassifications out of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||||||||||
Investment fair value changes, net | $ (28,574) | $ (21,357) | $ (10,202) | ||||||||
Realized gains, net | 28,009 | 36,369 | 15,478 | ||||||||
Interest expense | $ 20,537 | $ 21,597 | $ 22,444 | $ 23,950 | $ 25,039 | $ 23,875 | $ 23,008 | $ 23,961 | 88,528 | 95,883 | 87,463 |
Net income before provision for income taxes | 134,960 | 91,742 | $ 101,313 | ||||||||
Other than temporary impairments | 3,000 | 400 | |||||||||
Other than temporary impairment losses, income statement | 400 | 200 | |||||||||
Accumulated other comprehensive income, other-than-temporary impairments | 3,000 | 200 | |||||||||
Reclassification out of Accumulated Other Comprehensive Income | Net Unrealized Gains on Available-for-Sale Securities | |||||||||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||||||||||
Investment fair value changes, net | 368 | 246 | |||||||||
Realized gains, net | (21,535) | (29,672) | |||||||||
Net income before provision for income taxes | (21,167) | (29,426) | |||||||||
Reclassification out of Accumulated Other Comprehensive Income | Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | |||||||||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||||||||||
Interest expense | 72 | 95 | |||||||||
Net income before provision for income taxes | $ 72 | $ 95 |
Equity - Basic and Diluted Earnings Per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Earnings Per Share [Abstract] | |||||||||||
Net income attributable to Redwood | $ 25,355 | $ 52,553 | $ 41,281 | $ 12,063 | $ 41,059 | $ 19,164 | $ 27,064 | $ 14,801 | $ 131,252 | $ 102,088 | $ 100,569 |
Less: Dividends and undistributed earnings allocated to participating securities | (3,742) | (2,806) | (2,612) | ||||||||
Net income allocated to common shareholders | $ 127,510 | $ 99,282 | $ 97,957 | ||||||||
Basic weighted average common shares outstanding (in shares) | 76,747,047 | 82,945,103 | 82,837,369 | ||||||||
Basic earnings per common share (in dollars per share) | $ 0.32 | $ 0.67 | $ 0.52 | $ 0.15 | $ 0.49 | $ 0.22 | $ 0.31 | $ 0.17 | $ 1.66 | $ 1.20 | $ 1.18 |
Less: Dividends and undistributed earnings allocated to participating securities | $ (4,035) | $ (2,677) | $ (2,524) | ||||||||
Add back: Interest expense on convertible notes | 23,862 | 0 | 0 | ||||||||
Net income allocated to common shareholders | $ 151,079 | $ 99,411 | $ 98,045 | ||||||||
Net effect of dilutive equity awards (in shares) | 28,435 | 1,573,292 | 2,261,210 | ||||||||
Net effect of assumed convertible notes conversion to common shares (in shares) | 21,133,608 | 0 | 0 | ||||||||
Diluted weighted average shares outstanding (in shares) | 97,909,090 | 84,518,395 | 85,098,579 | ||||||||
Diluted earnings per common share (in dollars per share) | $ 0.31 | $ 0.58 | $ 0.48 | $ 0.15 | $ 0.46 | $ 0.22 | $ 0.31 | $ 0.16 | $ 1.54 | $ 1.18 | $ 1.15 |
Equity - Additional Information (Details) - USD ($) |
3 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Mar. 31, 2016 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
Feb. 29, 2016 |
Aug. 31, 2015 |
|
Stockholders Equity Note [Line Items] | ||||||
Stock Repurchased During Period, Value | $ 25,107,000 | $ 88,785,000 | ||||
Share Repurchase Plan, August 2015 | ||||||
Stockholders Equity Note [Line Items] | ||||||
Stock repurchase program, authorized amount | $ 100,000,000 | |||||
Share repurchased during period (in shares) | 839,130 | |||||
Stock Repurchased During Period, Value | $ 11,000,000 | |||||
Share Repurchase Plan, February 2016 | ||||||
Stockholders Equity Note [Line Items] | ||||||
Stock repurchase program, authorized amount | $ 100,000,000 | |||||
Share repurchased during period (in shares) | 1,103,924 | |||||
Stock Repurchased During Period, Value | $ 14,000,000 | |||||
Stock repurchase program, remaining authorized repurchase amount | $ 86,000,000 | |||||
Convertible debt securities | ||||||
Stockholders Equity Note [Line Items] | ||||||
Securities excluded in the calculation of diluted earnings per share | 0 | 21,292,309 | 12,811,041 | |||
Equity awards | ||||||
Stockholders Equity Note [Line Items] | ||||||
Securities excluded in the calculation of diluted earnings per share | 0 | 103,253 | 59,230 |
Equity Compensation Plans - Additional Information (Details) $ / shares in Units, $ in Thousands |
3 Months Ended | 12 Months Ended | |||||
---|---|---|---|---|---|---|---|
Dec. 31, 2016
USD ($)
$ / shares
shares
|
Mar. 31, 2016
USD ($)
executive
|
Dec. 31, 2015
USD ($)
$ / shares
shares
|
Dec. 31, 2014
$ / shares
shares
|
Dec. 31, 2016
USD ($)
tranche
measurement_period
$ / shares
shares
|
Dec. 31, 2015
USD ($)
$ / shares
shares
|
Dec. 31, 2014
USD ($)
$ / shares
shares
|
|
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Shares of common stock available for grant under Redwood's Incentive Plan (in shares) | 1,787,974 | 1,665,032 | 1,787,974 | 1,665,032 | |||
Unrecognized compensation cost | $ | $ 18,146 | $ 23,608 | $ 18,146 | $ 23,608 | |||
Equity compensation cost (less than for 2014) | $ | 9,093 | 11,921 | $ 9,750 | ||||
Share-based compensation expense including restructuring | $ | $ 12,576 | ||||||
Number of shares purchased by employees (in shares) | 337,271 | ||||||
Restricted Stock | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Unrecognized compensation cost | $ | 2,000 | $ 2,000 | |||||
Weighted average amortization period remaining for equity awards (in years) | 2 years | ||||||
Equity compensation cost (less than for 2014) | $ | $ 1,000 | $ 1,000 | |||||
Number of stock awards granted (in shares) | 144,056 | 141,069 | 2,574 | ||||
Number of stock awards forfeited (in shares) | 76,614 | 20,678 | 15,842 | ||||
Number of stock awards vested (in shares) | 50,107 | 42,675 | 44,209 | ||||
Deferred Stock Units | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Unrecognized compensation cost | $ | $ 12,000 | $ 12,000 | |||||
Equity compensation cost (less than for 2014) | $ | $ 9,000 | $ 7,000 | $ 6,000 | ||||
Unvested outstanding stock awards (in units) | 908,963 | 1,043,606 | 880,962 | 908,963 | 1,043,606 | 880,962 | |
Weighted-average grant date fair value of stock awards (in dollars per unit) | $ / shares | $ 14.96 | $ 17.22 | $ 17.20 | $ 14.96 | $ 17.22 | $ 17.20 | |
Share-based compensation expense including restructuring | $ | $ 3,000 | ||||||
Number of executives departing | executive | 2 | ||||||
Number of stock awards vested (in units) | 939,899 | 1,363,548 | 1,287,862 | 939,899 | 1,363,548 | 1,287,862 | |
Number of stock awards granted (in shares) | 565,061 | 583,958 | 350,769 | ||||
Number of stock awards forfeited (in shares) | 62,894 | 10,167 | 7,870 | ||||
Performance Stock Units | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Unrecognized compensation cost | $ | $ 5,000 | $ 5,000 | |||||
Equity compensation cost (less than for 2014) | $ | $ 3,000 | $ 3,000 | $ 3,000 | ||||
Unvested outstanding stock awards (in units) | 642,879 | 849,021 | 642,879 | 849,021 | |||
Weighted-average grant date fair value of stock awards (in dollars per unit) | $ / shares | $ 13.24 | $ 9.46 | $ 14.99 | $ 13.24 | $ 9.46 | $ 14.99 | |
Share-based compensation expense including restructuring | $ | $ 600 | ||||||
Number of executives departing | executive | 2 | ||||||
Number of stock awards granted (in shares) | 194,484 | 356,762 | 268,510 | ||||
Number of stock awards forfeited (in shares) | 208,330 | 0 | 0 | ||||
Performance Stock Units | Performance Share Units (PSUs), 2016 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Share-based compensation, vesting period (in years) | 3 years | ||||||
Number of measurement periods | measurement_period | 4 | ||||||
TSR performance period (in years) | 2 years | ||||||
Number of vesting tranches | tranche | 4 | ||||||
Grant date fair value assumptions, average closing stock price of common stock, measurement period (in days) | 60 days | ||||||
Grant date fair value assumptions, volatility rate | 29.00% | ||||||
Grant date fair value assumptions, risk-free rate | 1.57% | ||||||
Grant date fair value assumptions, dividend rate, risk-free rate, treasury rate measurement period (in years) | 3 years | ||||||
Grant date fair value assumptions, dividend yield | 0.00% | ||||||
Performance Stock Units | Performance Share Units (PSUs), 2015 And 2014 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Share-based compensation, vesting period (in years) | 3 years | ||||||
Grant date fair value assumptions, average closing stock price of common stock, measurement period (in days) | 40 days | ||||||
Performance Stock Units | Performance Share Units (PSUs), 2015 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Grant date fair value assumptions, volatility rate | 26.00% | ||||||
Grant date fair value assumptions, risk-free rate | 1.35% | ||||||
Grant date fair value assumptions, dividend rate, risk-free rate, treasury rate measurement period (in years) | 3 years | ||||||
Grant date fair value assumptions, dividend yield | 0.00% | ||||||
Performance Stock Units | Performance Share Units (PSUs), 2014 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Grant date fair value assumptions, volatility rate | 24.00% | ||||||
Grant date fair value assumptions, risk-free rate | 1.06% | ||||||
Grant date fair value assumptions, dividend yield | 0.00% | ||||||
Performance Stock Units | Performance Share Units (PSUs), 2013 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
TSR performance period (in years) | 3 years | ||||||
Number of stock awards vested (in shares) | 0 | ||||||
Performance Stock Units | Performance Share Units (PSUs), 2012 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
TSR performance period (in years) | 3 years | ||||||
Number of stock awards vested (in shares) | 57,049 | ||||||
Performance Stock Units | Performance Share Units (PSUs), 2011 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
TSR performance period (in years) | 3 years | ||||||
Number of stock awards vested (in shares) | 701,440 | ||||||
Maximum | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Weighted average amortization period remaining for equity awards (in years) | 2 years | ||||||
Share-based compensation, vesting period (in years) | 4 years | ||||||
Shares of common stock to be purchased in aggregate for all employees (in shares) | 450,000 | 450,000 | |||||
Maximum | Deferred Stock Units | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Weighted average amortization period remaining for equity awards (in years) | 2 years | ||||||
Maximum | Performance Stock Units | Performance Share Units (PSUs), 2016 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Equity awards, vesting percentage | 200.00% | ||||||
Award vesting rights, total share return, percentage | 72.00% | ||||||
Maximum | Performance Stock Units | Performance Share Units (PSUs), 2015 And 2014 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Equity awards, vesting percentage | 200.00% | ||||||
Award vesting rights, total share return, percentage | 125.00% | ||||||
Minimum | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Share-based compensation, vesting period (in years) | 3 years | ||||||
Minimum | Performance Stock Units | Performance Share Units (PSUs), 2016 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Equity awards, vesting percentage | 0.00% | ||||||
Minimum | Performance Stock Units | Performance Share Units (PSUs), 2015 And 2014 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Equity awards, vesting percentage | 0.00% |
Equity Compensation Plans - Unrecognized Compensation Cost (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended |
---|---|---|
Mar. 31, 2016 |
Dec. 31, 2016 |
|
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Unrecognized compensation cost at beginning of period | $ 23,608 | $ 23,608 |
Equity grants | 11,870 | |
Equity grant forfeitures | (4,756) | |
Equity compensation expense | (12,576) | |
Unrecognized Compensation Cost at End of Period | 18,146 | |
Restricted Stock | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Unrecognized Compensation Cost at End of Period | 2,000 | |
Deferred Stock Units | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Equity compensation expense | (3,000) | |
Unrecognized Compensation Cost at End of Period | 12,000 | |
Performance Stock Units | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Equity compensation expense | (600) | |
Unrecognized Compensation Cost at End of Period | 5,000 | |
Incentive Plans | Restricted Stock | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Unrecognized compensation cost at beginning of period | 2,393 | 2,393 |
Equity grants | 1,754 | |
Equity grant forfeitures | (1,380) | |
Equity compensation expense | (676) | |
Unrecognized Compensation Cost at End of Period | 2,091 | |
Incentive Plans | Deferred Stock Units | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Unrecognized compensation cost at beginning of period | 14,392 | 14,392 |
Equity grants | 7,416 | |
Equity grant forfeitures | (1,167) | |
Equity compensation expense | (9,135) | |
Unrecognized Compensation Cost at End of Period | 11,506 | |
Incentive Plans | Performance Stock Units | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Unrecognized compensation cost at beginning of period | 6,823 | 6,823 |
Equity grants | 2,576 | |
Equity grant forfeitures | (2,209) | |
Equity compensation expense | (2,641) | |
Unrecognized Compensation Cost at End of Period | 4,549 | |
Employee Stock Purchase Plan | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Unrecognized compensation cost at beginning of period | $ 0 | 0 |
Equity grants | 124 | |
Equity grant forfeitures | 0 | |
Equity compensation expense | (124) | |
Unrecognized Compensation Cost at End of Period | $ 0 |
Equity Compensation Plans - Restricted Stock Outstanding (Details) - Restricted Stock - $ / shares |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Shares | |||
Outstanding at beginning of period (in shares) | 187,180 | 109,464 | 166,941 |
Granted (in shares) | 144,056 | 141,069 | 2,574 |
Vested (in shares) | (50,107) | (42,675) | (44,209) |
Forfeited (in shares) | (76,614) | (20,678) | (15,842) |
Balance at End of Period (in shares) | 204,515 | 187,180 | 109,464 |
Weighted Average Grant Date Fair Market Value | |||
Outstanding at beginning of period (in dollars per share) | $ 18.22 | $ 15.97 | $ 15.01 |
Granted (in dollars per share) | 11.89 | 19.03 | 19.42 |
Vested (in dollars per share) | 17.28 | 14.87 | 13.44 |
Forfeited (in dollars per share) | 18.01 | 18.74 | 13.45 |
Balance at End of Period (in dollars per share) | $ 14.27 | $ 18.22 | $ 15.97 |
Equity Compensation Plans - Deferred Stock Units Activity (Details) - Deferred Stock Units - $ / shares |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Units | |||
Outstanding at beginning of period (in shares) | 2,407,154 | 2,168,824 | 2,266,473 |
Granted (in shares) | 565,061 | 583,958 | 350,769 |
Distributions (in shares) | (1,060,459) | (335,461) | (440,548) |
Forfeited (in shares) | (62,894) | (10,167) | (7,870) |
Balance at End of Period (in shares) | 1,848,862 | 2,407,154 | 2,168,824 |
Weighted Average Grant Date Fair Market Value | |||
Outstanding at beginning of period (in dollars per share) | $ 16.45 | $ 16.20 | $ 15.41 |
Granted (in dollars per share) | 13.33 | 16.11 | 19.62 |
Vested (in dollars per share) | 14.64 | 14.20 | 14.82 |
Forfeited (in dollars per share) | 18.66 | 16.60 | 19.06 |
Balance at End of Period (in dollars per share) | $ 16.46 | $ 16.45 | $ 16.20 |
Equity Compensation Plans - Summary of Activity Related to ESPP (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Employee Stock Purchase Plan (ESPP) Activity [Roll Forward] | |||
Balance at beginning of period | $ 18 | $ 3 | $ 3 |
Employee purchases | 290 | 475 | 494 |
Cost of common stock issued | (305) | (460) | (494) |
Balance at End of Period | $ 3 | $ 18 | $ 3 |
Equity Compensation Plans - Summary of Activity Related to Executive Deferred Compensation Plan (Details) - Executive Deferred Compensation Plan - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Deferred Compensation Cash-based Arrangements, Liability, Current and Noncurrent [Roll Forward] | |||
Balance at beginning of period | $ 2,095 | $ 2,049 | $ 1,882 |
New deferrals | 558 | 600 | 575 |
Accrued interest | 53 | 61 | 70 |
Withdrawals | (618) | (615) | (478) |
Balance at End of Period | $ 2,088 | $ 2,095 | $ 2,049 |
Mortgage Banking Activities, Net (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage banking activities, net | $ 38,691 | $ 10,972 | $ 34,994 |
Investment Fair Value Changes, Net | |||
Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of assets | (28,574) | (21,357) | (10,202) |
Changes in fair value of risk management derivatives | (9,112) | (9,677) | (7,792) |
Mortgage banking activities, net | 38,691 | 10,972 | 34,994 |
Residential Mortgage Banking Activities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Other income | 2,203 | 4,040 | 3,468 |
Mortgage banking activities, net | 40,753 | 8,268 | 21,554 |
Commercial Mortgage Banking Activities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Other income | 43 | 450 | 541 |
Mortgage banking activities, net | (2,062) | 2,704 | 13,440 |
Residential loans at fair value | Residential Mortgage Banking Activities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of assets | 31,399 | 53,946 | 65,202 |
Sequoia Entities | Residential Mortgage Banking Activities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of assets | 1,455 | (15,261) | (23,839) |
Risk management derivatives, net | Investment Fair Value Changes, Net | |||
Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of assets | (9,112) | (9,677) | (7,792) |
Risk management derivatives, net | Residential Mortgage Banking Activities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of risk management derivatives | 5,696 | (34,457) | (23,277) |
Risk management derivatives, net | Commercial Mortgage Banking Activities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of risk management derivatives | (2,538) | (8,011) | (7,890) |
Commercial loans, at fair value | Commercial Mortgage Banking Activities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of assets | $ 433 | $ 10,265 | $ 20,789 |
Investment Fair Value Changes, Net - Components of Investment Activities (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Investment Holdings [Line Items] | |||
Investment Fair Value Changes, Net | $ (28,574) | $ (21,357) | $ (10,202) |
Investment Fair Value Changes, Net | |||
Investment Holdings [Line Items] | |||
Changes in fair value of assets | (28,574) | (21,357) | (10,202) |
Changes in fair value of risk management derivatives | (9,112) | (9,677) | (7,792) |
Investment Fair Value Changes, Net | (28,574) | (21,357) | (10,202) |
Investment Fair Value Changes, Net | Residential loans held-for-investment, at Redwood | |||
Investment Holdings [Line Items] | |||
Changes in fair value of assets | (23,102) | (6,337) | (697) |
Investment Fair Value Changes, Net | Trading securities | |||
Investment Holdings [Line Items] | |||
Changes in fair value of assets | 9,666 | (2,019) | (358) |
Investment Fair Value Changes, Net | Net investments in consolidated Sequoia entities | |||
Investment Holdings [Line Items] | |||
Changes in fair value of assets | (4,200) | (1,192) | (894) |
Investment Fair Value Changes, Net | Risk sharing investments | |||
Investment Holdings [Line Items] | |||
Changes in fair value of assets | (1,151) | (1,886) | 104 |
Investment Fair Value Changes, Net | Commercial loans | |||
Investment Holdings [Line Items] | |||
Changes in fair value of assets | (307) | 0 | 0 |
Investment Fair Value Changes, Net | Impairments on AFS securities | |||
Investment Holdings [Line Items] | |||
Changes in fair value of assets | $ (368) | $ (246) | $ (565) |
Operating Expenses - Components of Operating Expenses (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Other Income and Expenses [Abstract] | |||||||||||
Fixed compensation expense | $ 24,332 | $ 35,093 | $ 29,057 | ||||||||
Variable compensation expense | 16,581 | 12,606 | 14,863 | ||||||||
Equity compensation expense | 9,093 | 11,921 | 9,750 | ||||||||
Total compensation expense | 50,006 | 59,620 | 53,670 | ||||||||
Systems and consulting | 9,037 | 10,212 | 11,654 | ||||||||
Loan acquisition costs | 5,744 | 10,326 | 8,207 | ||||||||
Office costs | 4,550 | 5,270 | 5,011 | ||||||||
Accounting and legal | 3,658 | 4,837 | 5,244 | ||||||||
Corporate costs | 2,106 | 2,049 | 2,237 | ||||||||
Other operating expenses | 3,284 | 5,102 | 4,100 | ||||||||
Operating expenses before restructuring charges | 78,385 | 97,416 | 90,123 | ||||||||
Costs incurred and expensed | $ 10,401 | 10,401 | 0 | 0 | |||||||
Total Operating Expenses | $ 17,824 | $ 20,355 | $ 20,155 | 30,452 | $ 22,638 | $ 24,497 | $ 25,218 | $ 25,063 | 88,786 | 97,416 | 90,123 |
Restructuring Cost and Reserve [Line Items] | |||||||||||
Costs incurred and expensed | 10,401 | 10,401 | $ 0 | $ 0 | |||||||
Fixed Compensation Expense | |||||||||||
Other Income and Expenses [Abstract] | |||||||||||
Costs incurred and expensed | 5,000 | ||||||||||
Restructuring Cost and Reserve [Line Items] | |||||||||||
Costs incurred and expensed | 5,000 | ||||||||||
Equity Compensation Expense | |||||||||||
Other Income and Expenses [Abstract] | |||||||||||
Costs incurred and expensed | 3,000 | ||||||||||
Restructuring Cost and Reserve [Line Items] | |||||||||||
Costs incurred and expensed | 3,000 | ||||||||||
Contract Termination Costs | |||||||||||
Other Income and Expenses [Abstract] | |||||||||||
Costs incurred and expensed | 2,000 | 1,655 | |||||||||
Restructuring Cost and Reserve [Line Items] | |||||||||||
Costs incurred and expensed | $ 2,000 | $ 1,655 |
Taxes - Components of Net Deferred Tax Assets (Details) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Deferred Tax Assets | ||
Net operating loss carryforward – state | $ 89,350 | $ 95,972 |
Net capital loss carryforward – state | 15,346 | 22,603 |
Net operating loss carryforward – federal | 9,537 | 32,929 |
Net capital loss carryforward – federal | 2,283 | 7,971 |
Real estate assets | 5,601 | 5,144 |
Interest rate agreements | 0 | 1,472 |
Allowances and accruals | 3,059 | 3,458 |
Other | 2,192 | 513 |
Total Deferred Tax Assets | 127,368 | 170,062 |
Deferred Tax Liabilities | ||
Mortgage Servicing Rights | (22,531) | (50,630) |
Interest rate agreements | (2,167) | 0 |
Tax effect of unrealized gains – OCI | (1,636) | (2,638) |
Total Deferred Tax Liabilities | (26,334) | (53,268) |
Valuation allowance | (101,932) | (116,794) |
Total Deferred Tax Asset (Liability), net of Valuation Allowance | $ (898) | $ 0 |
Taxes - Provision for (Benefit from) Income Taxes (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Current Provision for Income Taxes | |||
Federal | $ 1,477 | $ 144 | $ 24 |
State | 331 | 167 | 17 |
Total Current Provision for Income Taxes | 1,808 | 311 | 41 |
Deferred Provision for Income Taxes | |||
Federal | 1,910 | (10,198) | 703 |
State | (10) | (459) | 0 |
Total Deferred Provision for (Benefit from) Income Taxes | 1,900 | (10,657) | 703 |
Total Provision for Income Taxes | $ 3,708 | $ (10,346) | $ 744 |
Taxes - Additional Information (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Income Taxes [Line Items] | |||
(Provision for) benefit from income taxes | $ (3,708) | $ 10,346 | $ (744) |
Percentage prohibited transaction tax for not meeting the requirements of statutory relief | 100.00% | ||
Federal | |||
Income Taxes [Line Items] | |||
Estimated operating loss carry forwards | $ (59,000) | ||
NOL carry forwards | $ 28,000 | ||
NOL carry forwards, expiring year | 2029 | 2035 | |
State and Local Jurisdiction | |||
Income Taxes [Line Items] | |||
NOL carry forwards | $ 1,250,000 |
Taxes - Reconciliation of Statutory Tax Rate to Effective Tax Rate (Details) |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Income Tax Disclosure [Abstract] | |||
Federal statutory rate | 34.00% | 34.00% | 34.00% |
State statutory rate, net of Federal tax effect | 7.20% | 7.20% | 7.20% |
Differences in taxable (loss) income from GAAP income | (1.00%) | (20.30%) | (14.50%) |
Change in valuation allowance | (11.20%) | 6.10% | (0.10%) |
Dividends paid deduction | (26.30%) | (38.30%) | (25.90%) |
Effective Tax Rate | 2.70% | (11.30%) | 0.70% |
Segment Information - Additional Information (Details) |
12 Months Ended |
---|---|
Dec. 31, 2016
Segment
| |
Segment Reporting [Abstract] | |
Number of operating segments | 3 |
Segment Information - Financial Information by Segment (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
||||
Segment Reporting Information [Line Items] | ||||||||||||||
Interest income | $ 56,334 | $ 60,906 | $ 66,787 | $ 62,328 | $ 68,829 | $ 63,484 | $ 63,373 | $ 63,746 | $ 246,355 | $ 259,432 | $ 242,070 | |||
Interest expense | (20,537) | (21,597) | (22,444) | (23,950) | (25,039) | (23,875) | (23,008) | (23,961) | (88,528) | (95,883) | (87,463) | |||
Net Interest Income | 35,797 | 39,309 | 44,343 | 38,378 | 43,790 | 39,609 | 40,365 | 39,785 | 157,827 | 163,549 | 154,607 | |||
Reversal of provision for loan losses | 0 | 859 | 6,532 | (289) | 7,102 | 355 | (961) | |||||||
Non-interest income | ||||||||||||||
Mortgage banking activities, net | 38,691 | 10,972 | 34,994 | |||||||||||
MSR income (loss), net | 14,353 | (3,922) | (4,261) | |||||||||||
Investment fair value changes, net | (28,574) | (21,357) | (10,202) | |||||||||||
Other income | 6,338 | 3,192 | 1,781 | |||||||||||
Realized gains, net | 28,009 | 36,369 | 15,478 | |||||||||||
Total non-interest income, net | 9,763 | 33,712 | 10,888 | 4,454 | 19,593 | (3,412) | 14,104 | (5,031) | 58,817 | 25,254 | 37,790 | |||
Direct operating expenses | (17,824) | (20,355) | (20,155) | (30,452) | (22,638) | (24,497) | (25,218) | (25,063) | (88,786) | (97,416) | (90,123) | |||
(Provision for) benefit from income taxes | (3,708) | 10,346 | (744) | |||||||||||
Net Income | 25,355 | $ 52,553 | $ 41,281 | $ 12,063 | 41,059 | $ 19,164 | $ 27,064 | $ 14,801 | 131,252 | 102,088 | 100,569 | |||
Supplemental Disclosures | ||||||||||||||
Non-cash amortization income (expense) | 25,704 | 32,403 | 33,698 | |||||||||||
Hedging allocations | 0 | |||||||||||||
Real estate securities | [1] | 1,018,439 | 1,233,256 | 1,018,439 | 1,233,256 | |||||||||
MSR Fair Value | [1] | 118,526 | 191,976 | 118,526 | 191,976 | |||||||||
Total assets | [1] | 5,483,477 | 6,220,047 | 5,483,477 | 6,220,047 | |||||||||
Residential Loans | ||||||||||||||
Supplemental Disclosures | ||||||||||||||
Loan market valuation adjustment | 3,888,051 | 3,928,803 | 3,888,051 | 3,928,803 | ||||||||||
Commercial Loans | ||||||||||||||
Supplemental Disclosures | ||||||||||||||
Loan market valuation adjustment | 2,700 | 402,647 | 2,700 | 402,647 | ||||||||||
Operating Segments | Residential Mortgage Banking | ||||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||||
Interest income | 33,661 | 52,260 | 58,272 | |||||||||||
Interest expense | (14,191) | (17,207) | (12,776) | |||||||||||
Net Interest Income | 19,470 | 35,053 | 45,496 | |||||||||||
Reversal of provision for loan losses | 0 | 0 | 0 | |||||||||||
Non-interest income | ||||||||||||||
Mortgage banking activities, net | 40,753 | 8,268 | 21,554 | |||||||||||
MSR income (loss), net | 0 | 0 | 0 | |||||||||||
Investment fair value changes, net | 0 | 0 | 0 | |||||||||||
Other income | 0 | 0 | 0 | |||||||||||
Realized gains, net | 0 | 0 | 0 | |||||||||||
Total non-interest income, net | 40,753 | 8,268 | 21,554 | |||||||||||
Direct operating expenses | (23,252) | (43,182) | (37,664) | |||||||||||
(Provision for) benefit from income taxes | (1,860) | 4,169 | (1,774) | |||||||||||
Net Income | 35,111 | 4,308 | 27,612 | |||||||||||
Supplemental Disclosures | ||||||||||||||
Non-cash amortization income (expense) | (130) | (186) | (181) | |||||||||||
Hedging allocations | 1,120 | |||||||||||||
Real estate securities | 0 | 197,007 | 0 | 197,007 | ||||||||||
MSR Fair Value | 0 | 0 | 0 | 0 | ||||||||||
Total assets | 866,356 | 1,347,492 | 866,356 | 1,347,492 | ||||||||||
Operating Segments | Residential Mortgage Banking | Residential Loans | ||||||||||||||
Supplemental Disclosures | ||||||||||||||
Loan market valuation adjustment | 835,399 | 1,115,738 | 835,399 | 1,115,738 | ||||||||||
Operating Segments | Residential Mortgage Banking | Commercial Loans | ||||||||||||||
Supplemental Disclosures | ||||||||||||||
Loan market valuation adjustment | 0 | 0 | 0 | 0 | ||||||||||
Operating Segments | Residential Investments | ||||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||||
Interest income | 160,174 | 135,395 | 110,433 | |||||||||||
Interest expense | (18,394) | (11,204) | (11,848) | |||||||||||
Net Interest Income | 141,780 | 124,191 | 98,585 | |||||||||||
Reversal of provision for loan losses | 0 | 0 | 0 | |||||||||||
Non-interest income | ||||||||||||||
Mortgage banking activities, net | 0 | 0 | 0 | |||||||||||
MSR income (loss), net | 14,353 | (3,922) | (4,261) | |||||||||||
Investment fair value changes, net | (26,945) | (20,089) | (9,178) | |||||||||||
Other income | 6,070 | 3,192 | 181 | |||||||||||
Realized gains, net | 22,516 | 36,369 | 13,777 | |||||||||||
Total non-interest income, net | 15,994 | 15,550 | 519 | |||||||||||
Direct operating expenses | (9,042) | (4,346) | (3,681) | |||||||||||
(Provision for) benefit from income taxes | (1,848) | 847 | 1,340 | |||||||||||
Net Income | 146,884 | 136,242 | 96,763 | |||||||||||
Supplemental Disclosures | ||||||||||||||
Non-cash amortization income (expense) | 29,830 | 36,850 | 42,784 | |||||||||||
Hedging allocations | (1,070) | |||||||||||||
Real estate securities | 926,669 | 1,028,171 | 926,669 | 1,028,171 | ||||||||||
MSR Fair Value | 118,526 | 191,976 | 118,526 | 191,976 | ||||||||||
Total assets | 3,518,518 | 3,140,604 | 3,518,518 | 3,140,604 | ||||||||||
Operating Segments | Residential Investments | Residential Loans | ||||||||||||||
Supplemental Disclosures | ||||||||||||||
Loan market valuation adjustment | 2,261,016 | 1,791,195 | 2,261,016 | 1,791,195 | ||||||||||
Operating Segments | Residential Investments | Commercial Loans | ||||||||||||||
Supplemental Disclosures | ||||||||||||||
Loan market valuation adjustment | 0 | 0 | 0 | 0 | ||||||||||
Operating Segments | Commercial | ||||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||||
Interest income | 32,780 | 46,933 | 47,567 | |||||||||||
Interest expense | (5,001) | (13,809) | (15,836) | |||||||||||
Net Interest Income | 27,779 | 33,124 | 31,731 | |||||||||||
Reversal of provision for loan losses | 7,102 | 355 | (84) | |||||||||||
Non-interest income | ||||||||||||||
Mortgage banking activities, net | (2,062) | 2,704 | 13,440 | |||||||||||
MSR income (loss), net | 0 | 0 | 0 | |||||||||||
Investment fair value changes, net | 2,578 | 0 | 0 | |||||||||||
Other income | 268 | 0 | 0 | |||||||||||
Realized gains, net | 5,201 | 0 | 0 | |||||||||||
Total non-interest income, net | 5,985 | 2,704 | 13,440 | |||||||||||
Direct operating expenses | (2,731) | (11,331) | (11,324) | |||||||||||
(Provision for) benefit from income taxes | 0 | 1,452 | (234) | |||||||||||
Net Income | 38,135 | 26,304 | 33,529 | |||||||||||
Supplemental Disclosures | ||||||||||||||
Non-cash amortization income (expense) | (24) | (267) | (673) | |||||||||||
Hedging allocations | 0 | |||||||||||||
Real estate securities | 91,770 | 8,078 | 91,770 | 8,078 | ||||||||||
MSR Fair Value | 0 | 0 | 0 | 0 | ||||||||||
Total assets | 97,017 | 415,716 | 97,017 | 415,716 | ||||||||||
Operating Segments | Commercial | Residential Loans | ||||||||||||||
Supplemental Disclosures | ||||||||||||||
Loan market valuation adjustment | 0 | 0 | 0 | 0 | ||||||||||
Operating Segments | Commercial | Commercial Loans | ||||||||||||||
Supplemental Disclosures | ||||||||||||||
Loan market valuation adjustment | 2,700 | 402,647 | 2,700 | 402,647 | ||||||||||
Corporate/ Other | ||||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||||
Interest income | 19,740 | 24,844 | 25,798 | |||||||||||
Interest expense | (50,942) | (53,663) | (47,003) | |||||||||||
Net Interest Income | (31,202) | (28,819) | (21,205) | |||||||||||
Reversal of provision for loan losses | 0 | 0 | (877) | |||||||||||
Non-interest income | ||||||||||||||
Mortgage banking activities, net | 0 | 0 | 0 | |||||||||||
MSR income (loss), net | 0 | 0 | 0 | |||||||||||
Investment fair value changes, net | (4,207) | (1,268) | (1,024) | |||||||||||
Other income | 0 | 0 | 1,600 | |||||||||||
Realized gains, net | 292 | 0 | 1,701 | |||||||||||
Total non-interest income, net | (3,915) | (1,268) | 2,277 | |||||||||||
Direct operating expenses | (53,761) | (38,557) | (37,454) | |||||||||||
(Provision for) benefit from income taxes | 0 | 3,878 | (76) | |||||||||||
Net Income | (88,878) | (64,766) | (57,335) | |||||||||||
Supplemental Disclosures | ||||||||||||||
Non-cash amortization income (expense) | (3,972) | (3,994) | $ (8,232) | |||||||||||
Hedging allocations | (50) | |||||||||||||
Real estate securities | 0 | 0 | 0 | 0 | ||||||||||
MSR Fair Value | 0 | 0 | 0 | 0 | ||||||||||
Total assets | 1,001,586 | 1,316,235 | 1,001,586 | 1,316,235 | ||||||||||
Corporate/ Other | Residential Loans | ||||||||||||||
Supplemental Disclosures | ||||||||||||||
Loan market valuation adjustment | 791,636 | 1,021,870 | 791,636 | 1,021,870 | ||||||||||
Corporate/ Other | Commercial Loans | ||||||||||||||
Supplemental Disclosures | ||||||||||||||
Loan market valuation adjustment | $ 0 | $ 0 | $ 0 | $ 0 | ||||||||||
|
Segment Information - Components of Corporate/Other (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Segment Reporting Information [Line Items] | |||||||||||
Interest income | $ 56,334 | $ 60,906 | $ 66,787 | $ 62,328 | $ 68,829 | $ 63,484 | $ 63,373 | $ 63,746 | $ 246,355 | $ 259,432 | $ 242,070 |
Interest expense | (20,537) | (21,597) | (22,444) | (23,950) | (25,039) | (23,875) | (23,008) | (23,961) | (88,528) | (95,883) | (87,463) |
Net Interest Income | 35,797 | 39,309 | 44,343 | 38,378 | 43,790 | 39,609 | 40,365 | 39,785 | 157,827 | 163,549 | 154,607 |
Reversal of provision for loan losses | 0 | 859 | 6,532 | (289) | 7,102 | 355 | (961) | ||||
Investment fair value changes, net | (28,574) | (21,357) | (10,202) | ||||||||
Realized gains, net | 28,009 | 36,369 | 15,478 | ||||||||
Total non-interest income, net | 9,763 | 33,712 | 10,888 | 4,454 | 19,593 | (3,412) | 14,104 | (5,031) | 58,817 | 25,254 | 37,790 |
Direct operating expenses | (17,824) | (20,355) | (20,155) | (30,452) | (22,638) | (24,497) | (25,218) | (25,063) | (88,786) | (97,416) | (90,123) |
(Provision for) benefit from income taxes | (3,708) | 10,346 | (744) | ||||||||
Net Income | $ 25,355 | $ 52,553 | $ 41,281 | $ 12,063 | $ 41,059 | $ 19,164 | $ 27,064 | $ 14,801 | 131,252 | 102,088 | 100,569 |
Corporate/ Other | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Interest income | 19,740 | 24,844 | 25,798 | ||||||||
Interest expense | (50,942) | (53,663) | (47,003) | ||||||||
Net Interest Income | (31,202) | (28,819) | (21,205) | ||||||||
Reversal of provision for loan losses | 0 | 0 | (877) | ||||||||
Investment fair value changes, net | (4,207) | (1,268) | (1,024) | ||||||||
Other income | 0 | 0 | 1,600 | ||||||||
Realized gains, net | 292 | 0 | 1,701 | ||||||||
Total non-interest income, net | (3,915) | (1,268) | 2,277 | ||||||||
Direct operating expenses | (53,761) | (38,557) | (37,454) | ||||||||
(Provision for) benefit from income taxes | 0 | 3,878 | (76) | ||||||||
Net Income | (88,878) | (64,766) | (57,335) | ||||||||
Corporate/ Other | Legacy Consolidated VIEs | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Interest income | 19,537 | 24,814 | 25,786 | ||||||||
Interest expense | (13,103) | (15,646) | (20,844) | ||||||||
Net Interest Income | 6,434 | 9,168 | 4,942 | ||||||||
Reversal of provision for loan losses | 0 | 0 | (877) | ||||||||
Investment fair value changes, net | (4,200) | (1,192) | (894) | ||||||||
Other income | 0 | 0 | 0 | ||||||||
Realized gains, net | 0 | 0 | 1,701 | ||||||||
Total non-interest income, net | (4,200) | (1,192) | 807 | ||||||||
Direct operating expenses | 0 | 0 | (165) | ||||||||
(Provision for) benefit from income taxes | 0 | 0 | 0 | ||||||||
Net Income | 2,234 | 7,976 | 4,707 | ||||||||
Corporate/ Other | Other | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Interest income | 203 | 30 | 12 | ||||||||
Interest expense | (37,839) | (38,017) | (26,159) | ||||||||
Net Interest Income | (37,636) | (37,987) | (26,147) | ||||||||
Reversal of provision for loan losses | 0 | 0 | 0 | ||||||||
Investment fair value changes, net | (7) | (76) | (130) | ||||||||
Other income | 0 | 0 | 1,600 | ||||||||
Realized gains, net | 292 | 0 | 0 | ||||||||
Total non-interest income, net | 285 | (76) | 1,470 | ||||||||
Direct operating expenses | (53,761) | (38,557) | (37,289) | ||||||||
(Provision for) benefit from income taxes | 0 | 3,878 | (76) | ||||||||
Net Income | $ (91,112) | $ (72,742) | $ (62,042) |
Quarterly Financial Data - Unaudited (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Operating results: | |||||||||||
Interest income | $ 56,334 | $ 60,906 | $ 66,787 | $ 62,328 | $ 68,829 | $ 63,484 | $ 63,373 | $ 63,746 | $ 246,355 | $ 259,432 | $ 242,070 |
Interest expense | (20,537) | (21,597) | (22,444) | (23,950) | (25,039) | (23,875) | (23,008) | (23,961) | (88,528) | (95,883) | (87,463) |
Net Interest Income | 35,797 | 39,309 | 44,343 | 38,378 | 43,790 | 39,609 | 40,365 | 39,785 | 157,827 | 163,549 | 154,607 |
Non-interest income | 9,763 | 33,712 | 10,888 | 4,454 | 19,593 | (3,412) | 14,104 | (5,031) | 58,817 | 25,254 | 37,790 |
Operating expenses | (17,824) | (20,355) | (20,155) | (30,452) | (22,638) | (24,497) | (25,218) | (25,063) | (88,786) | (97,416) | (90,123) |
Net Income | $ 25,355 | $ 52,553 | $ 41,281 | $ 12,063 | $ 41,059 | $ 19,164 | $ 27,064 | $ 14,801 | $ 131,252 | $ 102,088 | $ 100,569 |
Per share data: | |||||||||||
Basic earnings per common share (in dollars per share) | $ 0.32 | $ 0.67 | $ 0.52 | $ 0.15 | $ 0.49 | $ 0.22 | $ 0.31 | $ 0.17 | $ 1.66 | $ 1.20 | $ 1.18 |
Diluted earnings per common share (in dollars per share) | 0.31 | 0.58 | 0.48 | 0.15 | 0.46 | 0.22 | 0.31 | 0.16 | 1.54 | 1.18 | 1.15 |
Regular dividends declared per common share (in dollars per share) | $ 0.28 | $ 0.28 | $ 0.28 | $ 0.28 | $ 0.28 | $ 0.28 | $ 0.28 | $ 0.28 | $ 1.12 | $ 1.12 | $ 1.12 |
Yield maintenance fees received | $ 1,000 | $ 1,000 | $ 5,000 | $ 2,000 | $ 2,000 | $ 2,000 | |||||
Reversal of provision for loan losses | 0 | 859 | $ 6,532 | $ (289) | 7,102 | $ 355 | $ (961) | ||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||||||
Costs incurred and expensed | $ 10,401 | 10,401 | $ 0 | $ 0 | |||||||
Commercial Loans At Lower Of Cost Or Market | |||||||||||
Per share data: | |||||||||||
Yield maintenance fees received | $ 16,000 | ||||||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||||||
Realized gains, net | $ 1,000 | $ 5,000 |